Conditionally acceptable recentered set estimators

DOI10.1214/AOS/1176350598MaRDI QIDQ1094019zbMATH OpenOpenAlexFDO

Authors George Casella

Publication date 1987

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

Full work available at URL https://doi.org/10.1214/aos/1176350598

zbMATH Keywords

betting proceduresconditional acceptabilityconfidence spherecoverage probabilityJames-Stein estimatormultivariate normal meanrecentered confidence setsStein- type estimator

Mathematics Subject Classification ID

Statistical decision theory (62C99) Parametric tolerance and confidence regions (62F25) Estimation in multivariate analysis (62H12)

Review text

The usual confidence sphere for a multivariate normal mean can be uniformly improved upon, in terms of coverage probability, by recentering it at a Stein-type estimator. However, these improved sets can have poor conditional performance. Using the theory of relevant betting procedures, which provides an objective means for assessing the conditional performance of a statistical procedure, a criterion for conditional acceptability can be established. A method of constructing such sets is outlined and applied to some recentered confidence sets. In particular, recentering at the positive-part James-Stein estimator yields a conditionally acceptable confidence set.

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