Minimum Volume Confidence Regions for a Multivariate Normal Mean Vector
نویسنده
چکیده
Since Stein’s original proposal in 1962, a series of papers have constructed confidence regions of smaller volume than the standard spheres for the mean vector of a multivariate normal distribution. A general approach to this problem is developed here, and used to calculate a lower bound on the attainable volume. Bayes and fiducial methods are involved in the calculation. Scheffe-type problems are used to show that low volume by itself does not guarantee favorable inferential properties.
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تاریخ انتشار 2006