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Expansion of the Scale Mixture of the Multivariate Normal Distribution with Error Bound Evaluated in the L1-Norm

โœ Scribed by R. Shimizu

Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
328 KB
Volume
53
Category
Article
ISSN
0047-259X

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Asymptotic Improvement of the Usual Conf
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โœ Yoshikazu Takada ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 183 KB

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.