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December, 1982 Invariant Confidence Sets with Smallest Expected Measure
Peter M. Hooper
Ann. Statist. 10(4): 1283-1294 (December, 1982). DOI: 10.1214/aos/1176345994

Abstract

A method is given for constructing a confidence set having smallest expected measure within the class of invariant level $1 - \alpha$ confidence sets. The main assumptions are (i) that the invariance group acts transitively on the parameter space and also acts on the parametric function of interest, and (ii) that the measure satisfies a certain equivariance property. When the invariance group satisfies the conditions of the Hunt-Stein Theorem, the optimal invariant confidence set is shown to minimize the maximum expected measure among all level $1 - \alpha$ confidence sets. The method is applied in several estimation problems, including the GMANOVA problem.

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Peter M. Hooper. "Invariant Confidence Sets with Smallest Expected Measure." Ann. Statist. 10 (4) 1283 - 1294, December, 1982. https://doi.org/10.1214/aos/1176345994

Information

Published: December, 1982
First available in Project Euclid: 12 April 2007

zbMATH: 0536.62024
MathSciNet: MR673664
Digital Object Identifier: 10.1214/aos/1176345994

Subjects:
Primary: 62F25
Secondary: 62C20 , 62H12

Keywords: Fiducial , GMANOVA , MANOVA , minimax , pivotal quanity , simultaneous

Rights: Copyright © 1982 Institute of Mathematical Statistics

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Vol.10 • No. 4 • December, 1982
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