Empirical Bayes Confidence Sets for the Mean of a Multivariate Normal Distribution
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.