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Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean

✍ Scribed by Charles Stein


Publisher
Springer Japan
Year
1964
Tongue
English
Weight
253 KB
Volume
16
Category
Article
ISSN
0020-3157

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Asymptotic Improvement of the Usual Conf
✍ Yoshikazu Takada πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 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.