English

A new recentered confidence sphere for the multivariate normal mean

Statistics Theory 2017-10-18 v2 Methodology Statistics Theory

Abstract

We describe a new recentered confidence sphere for the mean, theta, of a multivariate normal distribution. This sphere is centred on the positive-part James-Stein estimator, with radius that is a piecewise cubic Hermite interpolating polynomial function of the norm of the data vector. This radius function is determined by numerically minimizing the scaled expected volume, at theta = 0, of this confidence sphere, subject to the coverage constraint. We use the computationally-convenient formula, derived by Casella and Hwang [3], for the coverage probability of a recentered confidence sphere. Casella and Hwang, op. cit., describe a recentered confidence sphere that is also centred on the positive-part James-Stein estimator, but with radius function determined by empirical Bayes considerations. Our new recentered confidence sphere compares favourably with this confidence sphere, in terms of both the minimum coverage probability and the scaled expected volume at theta = 0.

Cite

@article{arxiv.1306.2419,
  title  = {A new recentered confidence sphere for the multivariate normal mean},
  author = {Waruni Abeysekera and Paul Kabaila},
  journal= {arXiv preprint arXiv:1306.2419},
  year   = {2017}
}

Comments

A small error has been corrected

R2 v1 2026-06-22T00:31:48.462Z