Robust empirical Bayes confidence intervals

DOI10.3982/ecta18597zbMATH Open1541.62028MaRDI QIDQ6536493

Mikkel Plagborg-Møller, Timothy B. Armstrong, Michal Kolesár

Publication date: 13 May 2024

Published in: Econometrica (Search for Journal in Brave)

zbMATH Keywords

empirical Bayesconfidence intervalshrinkageaverage coverage

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15) Empirical decision procedures; empirical Bayes procedures (62C12)

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