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摘要翻译：
我们构造了一个正态均值问题中的鲁棒经验Bayes置信区间（EBCIs）。区间集中在通常的线性经验贝叶斯估计，但使用一个临界值考虑收缩。假设均值为正态分布(Morris，1983b)的参数EBCIs可能在违反这一假设时基本上隐藏。相反，我们的EBCIs控制覆盖不管均值分布，同时保持接近参数EBCIs的长度，当均值确实是高斯的。如果将方法视为固定的，我们的EBCIs有一个平均覆盖保证：对于每个方法，$N$EBCIs的覆盖概率平均至少为$1-\alpha$。我们的实证应用考虑了美国社区对代际流动性的影响。
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英文标题：
《Robust Empirical Bayes Confidence Intervals》
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作者：
Timothy B. Armstrong and Michal Koles\'ar and Mikkel
Plagborg-M{\o}ller
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最新提交年份：
2021
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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英文摘要：
We construct robust empirical Bayes confidence intervals (EBCIs) in a normal means problem. The intervals are centered at the usual linear empirical Bayes estimator, but use a critical value accounting for shrinkage. Parametric EBCIs that assume a normal distribution for the means (Morris, 1983b) may substantially undercover when this assumption is violated. In contrast, our EBCIs control coverage regardless of the means distribution, while remaining close in length to the parametric EBCIs when the means are indeed Gaussian. If the means are treated as fixed, our EBCIs have an average coverage guarantee: the coverage probability is at least $1 - \alpha$ on average across the $n$ EBCIs for each of the means. Our empirical application considers the effects of U.S. neighborhoods on intergenerational mobility.
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PDF链接：
https://arxiv.org/pdf/2004.03448
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