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

DOI10.1134/S1995080211040305MaRDI QIDQ694461zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• The global approximations of the coverage probability for a confidence set centered at the positive part James-Stein estimator and their applications
• High order approximation for the coverage probability by a confident set centered at the positive-part James-Stein estimator
• Asymptotic Expansion of the Coverage Probability of James–Stein Estimators
• Confidence sets based on the positive part James–Stein estimator with the asymptotically constant coverage probability
• The third order approximation for the coverage probability of a confidence set centered at the positive part James-Stein estimator

Cites work

• scientific article; zbMATH DE number 5976922 (Why is no real title available?)
• scientific article; zbMATH DE number 1220667 (Why is no real title available?)
• scientific article; zbMATH DE number 3205757 (Why is no real title available?)
• 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
• Minimax confidence sets for the mean of a multivariate normal distribution

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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