Title of article
Asymptotic Improvement of the Usual Confidence Set in a Multivariate Normal Distribution with Unknown Variance
Author/Authors
Takada، نويسنده , , Yoshikazu، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 1998
Pages
13
From page
118
To page
130
Abstract
We consider confidence sets for the mean of a multivariate normal distribution with unknown covariance matrix of the formσ2I. The coverage probability of the usual confidence set is shown to be improved asymptotically by centering at a shrinkage estimator.
Keywords
confidence set , Shrinkage estimator , asymptotic expansion , coverage probability , and multivariate normal distribution
Journal title
Journal of Multivariate Analysis
Serial Year
1998
Journal title
Journal of Multivariate Analysis
Record number
1557486
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