This paper studies conditional properties of equivariant confidence intervals of a location parameter. The probability of covering the true value of the location parameter conditional on the location-and-scale configuration is computed. Also, the asymptotic distribution of this coverage probability is derived. Finally, the resulting expressions are applied to various confidence bounds such as the Wilcoxon, the Student and the Cauchy likelihood bound.
Anthony Christopher Davison, Igor Rodionov
Jérôme Chenal, Vitor Pessoa Colombo, Jürg Utzinger
Anthony Christopher Davison, Timmy Rong Tian Tse