Asymptotic Improvement of the Usual Confidence Set in a Multivariate Normal Distribution with Unknown Variance

We consider confidence sets for the mean of a multivariate normal distribution with unknown covariance matrix of the form[sigma]2I. The coverage probability of the usual confidence set is shown to be improved asymptotically by centering at a shrinkage estimator.

MoreLess

Year of publication:	1998
Authors:	Takada, Yoshikazu
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 64.1998, 2, p. 118-130
Publisher:	Elsevier
Subject:	confidence set \| coverage probability \| asymptotic expansion \| shrinkage estimator \| and multivariate normal distribution

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005160366