Gaffke's confidence interval for the mean of bounded data is inadmissible but asymptotically efficient

Abstract: Given observations $\mathbf x=(x_1,\dots,x_n)$, Gaffke (2005) defined [ K_n(\mathbf x)=\mathbb{P}{\mathbf D}!\left{\sum{i=1}^n x_iD_i\le 1\right}, \qquad (D_0,D_1,\ldots,D_n)\sim\mathrm{Dirichlet}(1,\ldots,1), ] and conjectured that it is a $p$-value whenever the inputs are independent e-values. Recently, Vlassis and Thomas (2026) proved this conjecture. Inverting the tests for observations in $[0,1]$ gives the confidence interval studied by Learned-Miller and Thomas (2020), which reduces to Clopper--Pearson for Bernoulli data. We give a finite- and large-sample account of Gaffke's test and interval. First, for every $\mathbf x\in[0,\infty)^n$ and every elementary symmetric polynomial $e_k$, ( K_n(\mathbf x)e_k(\mathbf x)\le {n\choose k}, ) so the Gaffke $p$-value never larger than the SymPol $p$-value of Ming et al. (2026). However, Gaffke's p-value is inadmissible. For $n=2$, we construct a valid rule that is strictly smaller on mixed configurations and is the unique admissible rule that dominates $K_2$. A neutral-face extension proves inadmissibility of $K_n$ for every $n\ge2$. If one independent uniform random variable is allowed, there is an even simpler full-dimensional improvement: on the upper orthant, where $K_n(\mathbf x)=1/\prod_i x_i$, replace it by $U/\prod_i x_i$. The equal-tail Gaffke confidence interval $I_n$ is nevertheless first-order asymptotically efficient: for iid observations on $[0,1]$ with unknown variance $σ^2>0$, [ \sqrt n\,\operatorname{Width}(I_n)\longrightarrow 2σz_{1-α/2}\qquad\text{almost surely}. ] Our simulations also find that, among a variety of bounded-mean intervals considered, the Gaffke interval is the shortest, including comparisons with a recent empirical Berry--Esseen procedure having the same first-order Gaussian target.