A Coverage Probability Approach to Finding an Optimal Binomial Confidence Procedure

The problem of finding confidence intervals for the success parameter of a binomial experiment has a long history, and a myriad of procedures have been developed. Most exploit the duality between hypothesis testing and confidence regions and are typically based on large sample approximations. We instead employ a direct approach that attempts to determine the optimal coverage probability function a binomial confidence procedure can have from the exact underlying binomial distributions, which in turn defines the associated procedure. We show that a graphical perspective provides much insight into the problem. Both procedures whose coverage never falls below the declared confidence level and those that achieve that level only approximately are analyzed. We introduce the Length/Coverage Optimal method, a variant of Sterne’s procedure that minimizes average length while maximizing coverage among all length minimizing procedures, and show that it is superior in important ways to existing procedures.