Empirical Bayes Confidence Sets for the Mean of a Multivariate Normal Distribution
通过经验贝叶斯方法构造了一个多元正态分布均值的置信集，该集合计算简单、体积更小，且覆盖概率不低于传统方法。
Abstract Through the use of an empirical Bayes argument, a confidence set for the mean of a multivariate normal distribution is derived. The set is a recentered sphere, is easy to compute, and has uniformly smaller volume than the usual confidence set. An exact formula for the coverage probability is derived, and numerical evidence is presented which shows that the empirical Bayes set uniformly dominates the usual set in coverage probability.