IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v64y1998i2p118-130.html
   My bibliography  Save this article

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

Author

Listed:
  • Takada, Yoshikazu

Abstract

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

Suggested Citation

  • Takada, Yoshikazu, 1998. "Asymptotic Improvement of the Usual Confidence Set in a Multivariate Normal Distribution with Unknown Variance," Journal of Multivariate Analysis, Elsevier, vol. 64(2), pages 118-130, February.
    • Handle: RePEc:eee:jmvana:v:64:y:1998:i:2:p:118-130
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047-259X(97)91716-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Hwang, J. T. Gene & Ullah, Aman, 1994. "Confidence sets centered at James--Stein estimators : A surprise concerning the unknown-variance case," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 145-156.
    2. Robert, Christian & Casella, George, 1990. "Improved confidence sets for spherically symmetric distributions," Journal of Multivariate Analysis, Elsevier, vol. 32(1), pages 84-94, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Boot, Tom, 2023. "Joint inference based on Stein-type averaging estimators in the linear regression model," Journal of Econometrics, Elsevier, vol. 235(2), pages 1542-1563.
    2. Hannes Leeb & Paul Kabaila, 2017. "Admissibility of the usual confidence set for the mean of a univariate or bivariate normal population: the unknown variance case," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(3), pages 801-813, June.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:64:y:1998:i:2:p:118-130. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.