High order approximation for the coverage probability by a confident set centered at the positive-part James-Stein estimator

DOI10.1016/J.SPL.2009.05.009zbMATH Open1169.62007OpenAlexW1964553271MaRDI QIDQ840802FDOQ840802

Authors: S. Ejaz Ahmed, Andrei Volodin, Igor N. Volodin 

Publication date: 14 September 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.05.009

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Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric tolerance and confidence regions (62F25) Estimation in multivariate analysis (62H12)

Cites Work

• Estimation with quadratic loss.
• Minimax confidence sets for the mean of a multivariate normal distribution
• A robust generalized Bayes estimator and confidence region for a multivariate normal mean
• Confidence sets and the stein effect
• Title not available (Why is that?)
• Minimum Volume Confidence Regions for a Multivariate Normal Mean Vector

Cited In (18)

• Constrained estimation and some useful results in several multivariate models
• Robust inference strategy in the presence of measurement error
• The global approximations of the coverage probability for a confidence set centered at the positive part James-Stein estimator and their applications
• Expansions of the coverage probabilities of prediction region based on a shrinkage estimator
• James-Stein confidence set: equal area approach to the global approximation of coverage probability
• Some Liu and ridge-type estimators and their properties under the ill-conditioned Gaussian linear regression model
• Estimation strategies for the regression coefficient parameter matrix in multivariate multiple regression
• James-Stein type confidence ellipsoid and its coverage probability
• Stochastically optimal bootstrap sample size for shrinkage-type statistics
• Asymptotic Expansion of the Coverage Probability of James–Stein Estimators
• Confidence sets centered at James-Stein estimators. A surprise concerning the unknown-variance case
• Shrinkage strategy in stratified random sample subject to measurement error
• Shrinkage estimation strategy in quasi-likelihood models
• Improved preliminary test and Stein-rule Liu estimators for the ill-conditioned elliptical linear regression model
• Confidence sets based on the positive part James–Stein estimator with the asymptotically constant coverage probability
• A class of Stein-rules in multivariate regression model with structural changes
• An application of shrinkage estimation to the nonlinear regression model
• Data-based adaptive estimation in an investment model

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