Robust Empirical Bayes Confidence Intervals

@article{Armstrong2020RobustEB,
  title={Robust Empirical Bayes Confidence Intervals},
  author={Timothy B. Armstrong and M. Koles{\'a}r and Mikkel Plagborg-M{\o}ller},
  journal={Econometrica},
  year={2020}
}
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… 

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