Expansions of the coverage probabilities of prediction region based on a shrinkage estimator

Author： Yuji Sakamoto  

Publisher： Taylor & Francis Ltd

ISSN： 0233-1888

Source： Statistics, Vol.38, Iss.5, 2004-10, pp. : 381-390

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Abstract

An expansion formula for the coverage probability of prediction region based on a shrinkage estimator proposed by Joshi [Joshi, V. M. (1967). Inadmissibility of the usual confidence sets for the mean of a multivariate normal population. Ann. Math. Statist., 38, 1868-1875.] is obtained. Its error bound is evaluated in terms of a function of an unknown parameter. Applying this result, three types of asymptotic expansions are derived. These expansions show inadmissibility of the usual prediction region.

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