Improved confidence sets of spherically symmetric distributions

DOI10.1016/0047-259X(90)90073-QzbMath0681.62041OpenAlexW2032961880MaRDI QIDQ1823582

George Casella, Christian P. Robert Robert

Publication date: 1990

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(90)90073-q

zbMATH Keywords

spherically symmetric distributionsconfidence setunknown varianceStein-type estimatormultivariate mean vectorrecentered set estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Parametric tolerance and confidence regions (62F25) Statistical decision theory (62C99)

Related Items

Shrinkage confidence procedures, Small Confidence Sets for the Mean of a Spherically Symmetric Distribution, Asymptotic improvement of the usual confidence set in a multivariate normal distribution with unknown variance, Confidence sets centered at James-Stein estimators. A surprise concerning the unknown-variance case

Cites Work

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• Improved confidence sets for the coefficients of a linear model with spherically symmetric errors
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• Robust shrinkage estimators of the location parameter for elliptically symmetric distributions
• Confidence sets centered at James-Stein estimators. A surprise concerning the unknown-variance case
• Minimax confidence sets for the mean of a multivariate normal distribution
• Empirical Bayes Confidence Sets for the Mean of a Multivariate Normal Distribution
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms