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June, 1986 Improved Confidence Sets for the Coefficients of a Linear Model with Spherically Symmetric Errors
Jiunn Tzon Hwang, Jeesen Chen
Ann. Statist. 14(2): 444-460 (June, 1986). DOI: 10.1214/aos/1176349932

Abstract

Under the assumption of normal errors, confidence spheres for $p(p \geq 3)$ coefficients of a linear model centered at the positive part James-Stein estimators were recently proved, by Hwang and Casella, to dominate the usual confidence set with the same radius. In this paper, the same domination results are established under various spherically symmetric distributions. These distributions include uniform distributions, double exponential distributions, and multivariate $t$ distributions.

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Jiunn Tzon Hwang. Jeesen Chen. "Improved Confidence Sets for the Coefficients of a Linear Model with Spherically Symmetric Errors." Ann. Statist. 14 (2) 444 - 460, June, 1986. https://doi.org/10.1214/aos/1176349932

Information

Published: June, 1986
First available in Project Euclid: 12 April 2007

zbMATH: 0601.62048
MathSciNet: MR840508
Digital Object Identifier: 10.1214/aos/1176349932

Subjects:
Primary: 62F25
Secondary: 62C20, 62F35, 62J07

Rights: Copyright © 1986 Institute of Mathematical Statistics

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Vol.14 • No. 2 • June, 1986
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