Virgil's dictum: "From one example, all is revealed," would seem to be the very antithesis of
statistical thinking, so it seems surprising to discover that a single observation is enough to
construct a confidence interval for the mean in the standard Gaussian model with unknown
mean and variance. The construction is described below and comes from class notes of Charles Stein,related to me by Steve Portnoy. Any further information about the origins of this problem
or its solution would be most welcome.
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