On an Asymptotic Theory of Conditional and Unconditional Coverage Probabilities of Empirical Bayes Confidence Intervals |
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| Authors: | GAURI SANKAR DATTA,MALAY GHOSH,DAVID DANIEL SMITH,& PARTHASARATHI LAHIRI |
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| Affiliation: | University of Georgia,;University of Florida,;U.S. Bureau of the Census,;University of Nebraska |
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| Abstract: | Empirical Bayes (EB) methodology is now widely used in statistics. However, construction of EB confidence intervals is still very limited. Following Cox (1975 ), Hill (1990 ) and Carlin & Gelfand (1990 , 1991 ), we consider EB confidence intervals, which are adjusted so that the actual coverage probabilities asymptotically meet the target coverage probabilities up to the second order. We consider both unconditional and conditional coverage, conditioning being done with respect to an ancillary statistic. |
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| Keywords: | ancillary statistic bias correction calibration |
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