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Activity Number: 490
Type: Contributed
Date/Time: Wednesday, August 12, 2015 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract #316215
Title: Admissibility of the Usual Confidence Set for the Mean of a Univariate or Bivariate Normal Population: The Unknown-Variance Case
Author(s): Hannes Leeb* and Paul Kabaila
Companies: University of Vienna and La Trobe University
Keywords: Confidence set ; Admissibility ; Stein phenomenon
Abstract:

We show that the standard confidence set for the mean in a univariate or bivariate Gaussian location-scale model is strongly admissible in the sense of Joshi (1969). This solves a long-standing open problem in mathematical statistics, and this has important implications on the performance of modern inference procedures. As a technical contribution of independent interest, we introduce a new class of conjugate priors for the Gaussian location-scale model.

Authors who are presenting talks have a * after their name.

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