Small Confidence Sets for the Mean of a Spherically Symmetric Distribution

DOI10.1111/J.1467-9868.2005.00505.XzbMath1071.62031OpenAlexW2077994234MaRDI QIDQ5313455

Richard J. Samworth

Publication date: 1 September 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2005.00505.x

zbMATH Keywords

volumebootstrapcoverage probabilitylocation parametermultivariate normal distributionStein estimatorconditional properties

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Parametric tolerance and confidence regions (62F25) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (9)

Shrinkage confidence procedures ⋮ Joint inference based on Stein-type averaging estimators in the linear regression model ⋮ LINK OF MOMENTS BEFORE AND AFTER TRANSFORMATIONS, WITH AN APPLICATION TO RESAMPLING FROM FAT-TAILED DISTRIBUTIONS ⋮ Empirical Bayes Confidence Intervals Shrinking Both Means and Variances ⋮ Bayesian optimality and intervals for Stein-type estimates ⋮ On minimum volume properties of some confidence regions for multiple multivariate normal means ⋮ Editorial: Memorial issue for Charles Stein ⋮ The global approximations of the coverage probability for a confidence set centered at the positive part James-Stein estimator and their applications ⋮ Universal Domination and Stochastic Domination—an Improved lower Bound for the Dimensionality

Cites Work

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• Improved confidence sets for the mean of a multivariate normal distribution
• Minimax estimation of the mean of spherically symmetric distributions under general quadratic loss
• Estimated confidence procedures for multivariate normal means
• Asymptotic equivalence of nonparametric regression and white noise
• Diagnosing bootstrap success
• Good exact confidence sets for a multivariate normal mean
• Superefficiency in nonparametric function estimation
• Shrinkage estimators, Skorokhod's problem and stochastic integration by parts
• Improved confidence sets of spherically symmetric distributions
• A note on methods of restoring consistency to the bootstrap

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