Expansions of the coverage probabilities of prediction region based on a shrinkage estimator |
| |
| Authors: | Yuji Sakamoto Yoshikazu Takada Nakahiro Yoshida |
| |
| Institution: | 1. Department of Kansei Information, Faculty of Human Environment , Hiroshima International University , 555-36 Gakuendai, Kurose-cho, Kamo-Gun, Hiroshima, 724-0695, Japan y-sakamo@he.hirokoku-u.ac.jp;3. Kumamoto University , Kumamoto, Japan;4. University of Tokyo , Tokyo, Japan |
| |
| 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. |
| |
| Keywords: | Asymptotic expansion Malliavin calculus Prediction region Inadmissibility |
|
|
