✦ LIBER ✦

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

✍ Scribed by Yoshikazu Takada

Publisher: Elsevier Science
Year: 1998
Tongue: English
Weight: 183 KB
Volume: 64
Category: Article
ISSN: 0047-259X
DOI: 10.1006/jmva.1997.1716

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✦ Synopsis

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