We have proposed a new confidence interval for the coefficient of variation. The
McKay’s confidence interval [10], Vangel’s confidence interval [9] and the proposed
confidence interval are compared in this study. The new confidence interval is based on
the replacement the classical sample coefficient of variation in Vangel’s confidence
interval with the maximum likelihood estimator. The Vangel’s confidence interval and the
new confidence interval has minimum coverage probabilities 1 α
−
. This new confidence
interval performs better than the McKay’s confidence interval and Vangel’s confidence
interval in terms of the expected length. Therefore, the proposed confidence interval is
preferable to the existing confidence intervals since it has a shorter expected length for
all sample sizes and values of κ considered here.