James-Stein confidence set: equal area approach to the global approximation of coverage probability

DOI10.1134/S1995080211040305zbMATH Open1274.62218OpenAlexW2027032979MaRDI QIDQ694461FDOQ694461

Authors: I. A. Kareev, Igor N. Volodin 

Publication date: 12 December 2012

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1995080211040305

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• The global approximations of the coverage probability for a confidence set centered at the positive part James-Stein estimator and their applications
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zbMATH Keywords

multivariate normal distributionasymptotic expansionconfidence setcoverage probabilitypositive-part James-Stein estimator

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Minimax confidence sets for the mean of a multivariate normal distribution
• Asymptotic Expansion of the Coverage Probability of James–Stein Estimators
• High order approximation for the coverage probability by a confident set centered at the positive-part James-Stein estimator
• Title not available (Why is that?)

Cited In (7)

• The third order approximation for the coverage probability of a confidence set centered at the positive part James-Stein estimator
• The global approximations of the coverage probability for a confidence set centered at the positive part James-Stein estimator and their applications
• James-Stein type confidence ellipsoid and its coverage probability
• Asymptotic Expansion of the Coverage Probability of James–Stein Estimators
• Confidence sets centered at James-Stein estimators. A surprise concerning the unknown-variance case
• High order approximation for the coverage probability by a confident set centered at the positive-part James-Stein estimator
• Confidence sets based on the positive part James–Stein estimator with the asymptotically constant coverage probability

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