Journal
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
Volume 68, Issue -, Pages 655-670Publisher
BLACKWELL PUBLISHING
DOI: 10.1111/j.1467-9868.2006.00560.x
Keywords
Fisher-von Mises distribution; James-Stein estimator; non-central (x); Scheft intervals
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Since Stein's original proposal in 1962, a series of papers have constructed confidence regions of smaller volume than the standard spheres for the mean vector of a multivariate normal distribution. A general approach to this problem is developed here and used to calculate a lower bound on the attainable volume. Bayes and fiducial methods are involved in the calculation. Scheffe-type problems are used to show that low volume by itself does not guarantee favourable inferential properties.
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