Improved confidence estimators for the multivariate normal confidence set

Hsiuying Wang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

Traditionally, the constant coverage probability estimator, confidence coefficient, is used to report the confidence of a multivariate normal confidence set. Robinson (1979), Lu and Berger (1989) and Robert and Casella (1994) all showed that there are certain estimators better than the confidence coefficient when the number of unknown parameters is greater than 4. In this paper some other better estimators are provided.

Original languageEnglish
Pages (from-to)659-664
Number of pages6
JournalStatistica Sinica
Volume10
Issue number2
StatePublished - 1 Apr 2000

Keywords

  • Admissibility
  • Confidence coefficient
  • Coverage function
  • The usual constant coverage probability estimator

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