Confidence sets centered at James-Stein estimators. A surprise concerning the unknown-variance case

DOI10.1016/0304-4076(94)90041-8zbMath0788.62027OpenAlexW1503373448MaRDI QIDQ1318991

J. T. Gene Hwang, Aman Ullah

Publication date: 2 June 1994

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90041-8

zbMATH Keywords

linear modelresidualscoverage probabilitiesconfidence setunknown variancedegrees of freedomnumerical studiesshrinkage factor\(F\) confidence setJames-Stein point estimator

Mathematics Subject Classification ID

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

Related Items (6)

Shrinkage confidence procedures ⋮ Asymptotic improvement of the usual confidence set in a multivariate normal distribution with unknown variance ⋮ Joint inference based on Stein-type averaging estimators in the linear regression model ⋮ Improved confidence sets of spherically symmetric distributions ⋮ Stein estimation -- a review ⋮ Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers

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