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Suppose that \\(X\\) is a \\(p\\)-variate normal random vector with unknown mean vector \\(\\theta\\) and unknown covariance matrix of the form \\(\\sigma^2I\\), \\(S\\) is independent of \\(X\\) and is distributed as \\(\\sigma^2\\) times a chi-squared random variable with \\(n\\) degrees of freedom. The usual confidence set of \\(\\theta\\) is  \\[ C_0(X,S)= \\bigl\\{\\theta; |\\theta-X|^2 <cS \\bigr\\},  \\]  where \\(|\\theta -X|\\) denotes the Euclidean distance between \\(\\theta\\) and \\(X\\), and \\(c\\) is some positive constant determined such that \\(P\\{\\theta\\in C_0(X,S)\\} =1-\\alpha\\). We consider a confidence set of the form  \\[ C(X,S)= \\biggl\\{\\theta; \\bigl| \\theta-\\delta (X,S)\\bigr |^2 <cS \\biggr\\}, \\]  where  \\[ \\delta (X,S)= \\bigl(1- b/(a+F+b) \\bigr)X \\]  with \\(F=| X|^2 /S\\) and positive constants \\(a\\) and \\(b\\). In Section 2 we get an asymptotic expansion of the coverage probability of \\(C(X,S)\\) as \\(a\\to\\infty\\), from which the asymptotic improvement is shown if \\(0<b<2 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