Employing vague prior information in the construction of confidence sets

DOI10.1016/0047-259X(87)90100-XzbMath0644.62035MaRDI QIDQ1102654

George Casella, Jiunn Tzon Hwang

Publication date: 1987

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

coverage probabilitymultivariate normal distributionStein estimationmean estimationone-way analysis of variancemodified empirical BayesScheffé's method of estimation of contrastsunknown variance casevague prior specificationsvariable radius confidence set

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Parametric tolerance and confidence regions (62F25) Statistical decision theory (62C99) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (7)

Shrinkage confidence procedures ⋮ Efficient shrinkage in parametric models ⋮ Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace ⋮ Improved set estimators for the coefficients of a linear model when the error distribution is spherically symmetric with unknown variances ⋮ Further Properties of Frequentist Confidence Intervals in Regression that Utilize Uncertain Prior Information ⋮ Improved confidence sets of spherically symmetric distributions ⋮ Confidence sets centered at James-Stein estimators. A surprise concerning the unknown-variance case

Cites Work

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• Parametric Empirical Bayes Inference: Theory and Applications
• Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
• Inadmissibility of the Usual Confidence Sets for the Mean of a Multivariate Normal Population
• On the Admissibility of Invariant Estimators of One or More Location Parameters
• Admissibility of the Usual Confidence Sets for the Mean of a Univariate or Bivariate Normal Population

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