Improved confidence sets for the coefficients of a linear model with spherically symmetric errors

DOI10.1214/aos/1176349932zbMath0601.62048OpenAlexW2024650258MaRDI QIDQ1081241

Jiunn Tzon Hwang, Jeesen Chen

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1214/aos/1176349932

zbMATH Keywords

James-Stein estimatorlinear modeluniform distributioncoverage probabilitydominancespherically symmetricmultivariate t distributionconfidence setslocation parameterdouble exponentialfixed radius

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Ridge regression; shrinkage estimators (Lasso) (62J07) Robustness and adaptive procedures (parametric inference) (62F35) Minimax procedures in statistical decision theory (62C20)

Related Items (8)

On the distribution of linear combinations of the components of a Dirichlet random vector ⋮ Shrinkage confidence procedures ⋮ Improved point and confidence interval estimators of mean response in simulation when control variates are used ⋮ Discussion of ``Is Bayes posterior just quick and dirty confidence? by D.A.S. Fraser ⋮ Improved set estimators for the coefficients of a linear model when the error distribution is spherically symmetric with unknown variances ⋮ Improved confidence intervals for the scale parameter of Burr XII model based on record values ⋮ Improved confidence sets of spherically symmetric distributions ⋮ Confidence sets centered at James-Stein estimators. A surprise concerning the unknown-variance case

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