Expansions of the coverage probabilities of prediction region based on a shrinkage estimator

DOI10.1080/02331880410001730757zbMath1062.62029OpenAlexW2123505761MaRDI QIDQ4663083

Yuji Sakamoto, Yoshikazu Takada, Nakahiro Yoshida

Publication date: 30 March 2005

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880410001730757

zbMATH Keywords

asymptotic expansionMalliavin calculusinadmissibilityprediction region

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20) Stochastic calculus of variations and the Malliavin calculus (60H07) Admissibility in statistical decision theory (62C15)

Related Items (2)

High order asymptotic expansion for Wiener functionals ⋮ Asymptotic expansion and estimates of Wiener functionals

Cites Work

• Asymptotic improvement of the usual confidence set in a multivariate normal distribution with unknown variance
• Expansion of perturbed random variables based on generalized Wiener functionals
• Minimax confidence sets for the mean of a multivariate normal distribution
• Admissibility of prediction intervals
• Inadmissibility of the Usual Confidence Sets for the Mean of a Multivariate Normal Population
• Admissibility of the Usual Confidence Sets for the Mean of a Univariate or Bivariate Normal Population

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