Good exact confidence sets for a multivariate normal mean

DOI10.1214/AOS/1069362396MaRDI QIDQ1374237zbMATH OpenOpenAlexFDO

Authors Yu-Ling Tseng, Lawrence Brown

Publication date 5 March 1998

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1069362396

zbMATH Keywords

confidence setscoverage probabilityJames-Stein estimatormultivariate normal meanpseudo-empirical-Bayes constructionStein-type estimatorvolume

Mathematics Subject Classification ID

Admissibility in statistical decision theory (62C15) Minimax procedures in statistical decision theory (62C20) Bayesian inference (62F15) Parametric tolerance and confidence regions (62F25) Multivariate analysis (62H99)

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• Shrinkage confidence procedures
• Minimum Volume Confidence Regions for a Multivariate Normal Mean Vector
• Empirical Bayes Confidence Intervals Shrinking Both Means and Variances
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• Optimized recentered confidence spheres for the multivariate normal mean
• Small Confidence Sets for the Mean of a Spherically Symmetric Distribution
• Admissibility of the usual confidence set for the mean of a univariate or bivariate normal population: the unknown variance case
• Improved confidence sets for the mean of a multivariate normal distribution
• Error regions in quantum state tomography: computational complexity caused by geometry of quantum states
• Simultaneous confidence regions for multivariate bioequivalence
• Efficient shrinkage in parametric models

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