Non-Equivariant Simultaneous Confidence Intervals Less Likely to Contain Zero
The non-equivariant procedure presented by Benjamini and Stark [1996] yields simultaneous confidence intervals less likely to contain zero than the standard simultaneous procedures for many nonzero expectations of a set of independent random variables identically distributed up to their location parameters. We shall recall the procedure discussed in Benjamini and Stark [1996], and introduce a (slightly) more powerful non-equivariant procedure, as a modification to the procedure presented by Benjamini and Stark [1996].
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