Good exact confidence sets for a multivariate normal mean

Yu-Ling Tseng, Lawrence D. Brown
1997 Annals of Statistics  
A class of confidence sets with constant coverage probability for the mean of a p-variate normal distribution is proposed through a pseudo-empirical-Bayes construction. When the dimension is greater than 2, by combining analytical results with some exact numerical calculations the proposed sets are proved to have a uniformly smaller volume than the usual confidence region. Sufficient conditions for the connectedness of the proposed confidence sets are also derived. In addition, our confidence
more » ... n, our confidence sets could be used to construct tests for point null hypotheses. The resultant tests have convex acceptance regions and hence are admissible by Birnbaum. Tabular results of the comparison between the proposed region and other confidence sets are also given. A class of confidence sets with constant coverage probability for the mean of a p-variate normal distribution is proposed through a pseudoempirical-Bayes construction. When the dimension is greater than 2, by combining analytical results with some exact numerical calculations the proposed sets are proved to have a uniformly smaller volume than the usual confidence region. Sufficient conditions for the connectedness of the proposed confidence sets are also derived. In addition, our confidence sets could be used to construct tests for point null hypotheses. The resultant tests have convex acceptance regions and hence are admissible by Birnbaum. Tabular results of the comparison between the proposed region and other confidence sets are also given.
doi:10.1214/aos/1069362396 fatcat:xjov5sy3j5eh5cj2oeyznce6ge