Abstract
This paper presents a new confidence interval for a coefficient of variation of a
normal distribution. The proposed confidence interval is constructed by replacing the
typical sample coefficient of variation in Vangel’s confidence interval with the maximum
likelihood estimator. Monte Carlo simulation is used to investigate the behavior of this
new confidence interval compared to the existing confidence intervals based on their
coverage probabilities and expected lengths. Simulation results have shown that all
cases of the new confidence interval have desired minimum coverage probabilities of
0.95 and 0.90. Moreover, this new one is better than the existing confidence intervals in
terms of the expected length for all sample sizes and parameter values considered in
this paper.
__________