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
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
Journal title :
Journal of Multivariate Analysis
