Shrinkage Confidence Procedures
Methodology
2012-03-23 v1
Abstract
The possibility of improving on the usual multivariate normal confidence was first discussed in Stein (1962). Using the ideas of shrinkage, through Bayesian and empirical Bayesian arguments, domination results, both analytic and numerical, have been obtained. Here we trace some of the developments in confidence set estimation.
Cite
@article{arxiv.1203.4935,
title = {Shrinkage Confidence Procedures},
author = {George Casella and J. T. Gene Hwang},
journal= {arXiv preprint arXiv:1203.4935},
year = {2012}
}
Comments
Published in at http://dx.doi.org/10.1214/10-STS319 the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org)