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Improved minimax estimation of powers of the variance of a multivariate normal distribution under the entropy loss function

โœ Scribed by Nabendu Pal; Chiahua Ling

Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
323 KB
Volume
24
Category
Article
ISSN
0167-7152

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