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Asymptotic Improvement of the Usual Confidence Set in a Multivariate Normal Distribution with Unknown Variance |
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| Authors: | Yoshikazu Takada |
| Institution: | Kumamoto University, Kumamoto, Japan |
| Abstract: | We consider confidence sets for the mean of a multivariate normal distribution with unknown covariance matrix of the formσ2I. The coverage probability of the usual confidence set is shown to be improved asymptotically by centering at a shrinkage estimator. |
| Keywords: | confidence set coverage probability asymptotic expansion shrinkage estimator and multivariate normal distribution |
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