In: Statistics and Probability
Could you please guide on how to approach this confidence interval review problem? Let U1, U2, · · · , Un be i.i.d observations from Uniform(0, θ), where θ > 0 is unknown. Suppose U(1) = min{U1, U2, · · · , Un} and U(n) = max{U1, U2, · · · , Un}.
Show that for any α ∈ (0, 1),
(U(1), α-1/nU(n))
is a (1 − α) level confidence interval for θ.
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