Good exact confidence sets for a multivariate normal mean

DOI10.1214/aos/1069362396zbMath0882.62027OpenAlexW1996748033MaRDI QIDQ1374237

Lawrence D. Brown, Yu-Ling Tseng

Publication date: 5 March 1998

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

Full work available at URL: https://doi.org/10.1214/aos/1069362396

zbMATH Keywords

volumeJames-Stein estimatorcoverage probabilityconfidence setsStein-type estimatormultivariate normal meanpseudo-empirical-Bayes construction

Mathematics Subject Classification ID

Multivariate analysis (62H99) Parametric tolerance and confidence regions (62F25) Bayesian inference (62F15) Minimax procedures in statistical decision theory (62C20) Admissibility in statistical decision theory (62C15)

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Optimal confidence sets for testing average bioequivalence. ⋮ Minimum volume confidence sets for parameters of normal distributions ⋮ Shrinkage confidence procedures ⋮ Small Confidence Sets for the Mean of a Spherically Symmetric Distribution ⋮ Efficient shrinkage in parametric models ⋮ Error regions in quantum state tomography: computational complexity caused by geometry of quantum states ⋮ Set-induced minimax estimators for a multivariate normal mean. ⋮ Empirical Bayes Confidence Intervals Shrinking Both Means and Variances ⋮ On minimum volume properties of some confidence regions for multiple multivariate normal means ⋮ Minimum Volume Confidence Regions for a Multivariate Normal Mean Vector

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