Minimum Volume Confidence Regions for a Multivariate Normal Mean Vector

DOI10.1111/j.1467-9868.2006.00560.xzbMath1110.62077OpenAlexW2094444516MaRDI QIDQ3408553

Efron, Bradley

Publication date: 14 November 2006

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2006.00560.x

zbMATH Keywords

James-Stein estimatorFisher-von Mises distributionnon-central chiScheffe intervals

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Parametric tolerance and confidence regions (62F25) Bayesian inference (62F15)

Related Items (10)

Minimum volume confidence sets for parameters of normal distributions ⋮ High order approximation for the coverage probability by a confident set centered at the positive-part James-Stein estimator ⋮ Shrinkage confidence procedures ⋮ On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory ⋮ Fiducial theory and optimal inference ⋮ Confidence distributions: a review ⋮ Empirical Bayes Confidence Intervals Shrinking Both Means and Variances ⋮ On minimum volume properties of some confidence regions for multiple multivariate normal means ⋮ Higher order moments of the estimated tangency portfolio weights ⋮ Universal Domination and Stochastic Domination—an Improved lower Bound for the Dimensionality

Cites Work

• Good exact confidence sets for a multivariate normal mean
• Alternative Models for the Analysis of Variance
• Data Analysis Using Stein's Estimator and its Generalizations
• Unnamed Item

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