Sankhya: The Indian Journal of Statistics
2003, Volume 65, Pt. 2, 411--421
Asymptotic Properties Of Stein-Type Confidence Sets --- A U-Statistics Approach
A.K. MD. EHSANES SALEH, Carleton University, Ottawa, Canada
SUMMARY: For a vector of estimable parameters Stein-type estimators are used to define recentered confidence sets. Asymptotically, we compare the coverage probabilities of these sets with constant volume using Pitman-type local alternatives. It is shown that the asymptotic coverage probability of the recentered confidence set based on the positive- rule Stein estimator dominates the usual set. Also, the confidence set with preliminary test estimator as center is inadmissible.
AMS (1991) subject classification. 62F25, 62j07, 62C20.
Key words and phrases. Confidence sets, Stein estimation, asymptotic dominance.