Asymptotic Improvement of the Usual Confidence Set in a Multivariate Normal Distribution with Unknown Variance
AbstractWe consider confidence sets for the mean of a multivariate normal distribution with unknown covariance matrix of the form[sigma]2I. The coverage probability of the usual confidence set is shown to be improved asymptotically by centering at a shrinkage estimator.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 64 (1998)
Issue (Month): 2 (February)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hwang, J. T. Gene & Ullah, Aman, 1994.
"Confidence sets centered at James--Stein estimators : A surprise concerning the unknown-variance case,"
Journal of Econometrics,
Elsevier, vol. 60(1-2), pages 145-156.
- Ullah, A. & Hwang, J.T., 1991. ""Confidence Sets Centered at James-Stein Estimators--A Surprise Concerning the Unknown Variance Case"," The A. Gary Anderson Graduate School of Management 92-36, The A. Gary Anderson Graduate School of Management. University of California Riverside.
- Hwang, J.T. & Ullah, A., 1989. "Confidence Sets Centered At James-Stein Estimators- A Surprise Concerning The Unknown Variance Case," UWO Department of Economics Working Papers 8909, University of Western Ontario, Department of Economics.
- Robert, Christian & Casella, George, 1990. "Improved confidence sets for spherically symmetric distributions," Journal of Multivariate Analysis, Elsevier, vol. 32(1), pages 84-94, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.