James-Stein confidence set: equal area approach to the global approximation of coverage probability

DOI10.1134/S1995080211040305zbMath1274.62218OpenAlexW2027032979MaRDI QIDQ694461

I. A. Kareev, Igor N. Volodin

Publication date: 12 December 2012

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

Full work available at URL: https://doi.org/10.1134/s1995080211040305

zbMATH Keywords

asymptotic expansioncoverage probabilitymultivariate normal distributionconfidence setpositive-part James-Stein estimator

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (1)

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

Cites Work

• High order approximation for the coverage probability by a confident set centered at the positive-part James-Stein estimator
• Minimax confidence sets for the mean of a multivariate normal distribution
• Asymptotic Expansion of the Coverage Probability of James–Stein Estimators
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