The global approximations of the coverage probability for a confidence set centered at the positive part James-Stein estimator and their applications

DOI10.1134/S1995080222110142zbMath1503.62062OpenAlexW4312425787MaRDI QIDQ2107885

Rustem Salimov, Iskander Kareev, Sujitta Suraphee, Andrei I. Volodin, Ekaterina Turilova, Igor N. Volodin

Publication date: 5 December 2022

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1995080222110142

zbMATH Keywords

asymptotic expansioncoverage probabilityconfidence setspositive-part James-Stein estimator

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20)

Cites Work

• James-Stein confidence set: equal area approach to the global approximation of coverage probability
• High order approximation for the coverage probability by a confident set centered at the positive-part James-Stein estimator
• A robust generalized Bayes estimator and confidence region for a multivariate normal mean
• Minimax confidence sets for the mean of a multivariate normal distribution
• Confidence sets based on the positive part James–Stein estimator with the asymptotically constant coverage probability
• Small Confidence Sets for the Mean of a Spherically Symmetric Distribution
• Asymptotic Expansion of the Coverage Probability of James–Stein Estimators
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item