On an asymptotic theory of conditional and unconditional coverage probabilities of empirical Bayes confidence intervals

被引：24

作者：

Datta, GS ^{[1
]}

Ghosh, M ^{[1
]}

Smith, DD ^{[1
]}

Lahiri, P ^{[1
]}

机构：

[1] Univ Georgia, Dept Stat, Athens, GA 30602 USA

来源：

SCANDINAVIAN JOURNAL OF STATISTICS | 2002年 / 29卷 / 01期

关键词：

ancillary statistic; bias correction; calibration;

D O I：

10.1111/1467-9469.t01-1-00143

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：139 / 152

页数：14

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