Standard approximate 1-a prediction intervals (PIs) need to be adjusted to take account of the error in estimating the parameters. This adjustment may be aimed at setting the (unconditional) probability that the PI includes the value being predicted equal to 1-a. Alternatively, this adjustment...

We consider the problem of estimating measures of precision of shrinkage-type estimators like their risk or distribution. The notion of shrinkage-type estimators here refers to estimators like the James-Stein estimator or Lasso-type estimators, as well as to 'thresholding' estimators such as,...