Shrinkage Confidence Procedures
George Casella, J. T. Gene Hwang · Statistical Science · 2012
The possibility of improving on the usual multivariate normal confidence was first discussed in Stein (1962). Using the ideas of shrinkage, through Bayesian and empirical Bayesian arguments, domination results, both analytic and numerical, have been obtained. Here we trace some of the developments in confidence set estimation.