Bias corrected empirical Bayes confidence intervals for the selected mean

Abhishek Bhattacharjee and Malay Ghosh

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 3, 583-595

Abstract: Empirical Bayes (EB) methods are very useful for post selection inference. Following Datta et al. (2002), we construct EB confidence intervals for the selected population mean. The EB intervals are adjusted to achieve the target coverage probabilities asymptotically up to the second order. Both unconditional coverage probabilities of EB intervals and corresponding probabilities conditional on ancillary statistics are found.

Date: 2019
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DOI: 10.1080/03610926.2017.1417427

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