On an Asymptotic Theory of Conditional and Unconditional Coverage Probabilities of Empirical Bayes Confidence Intervals

Gauri Sankar Datta, Malay Ghosh, David Daniel Smith and Parthasarathi Lahiri

Scandinavian Journal of Statistics, 2002, vol. 29, issue 1, 139-152

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.

Date: 2002
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