A method is suggested for constructing a conservative confidence region for the parameters of a general linear model. In meta-analytical applications, when the results of independent but heterogeneous studies are to be combined, this region can be employed with little to no knowledge of error variances. The required optimization problem is formulated and some properties of its solution are found.
Citation: Statistica Sinica
Pub Type: Journals
Cauchy-Binet formula, Dirichlet averages, General linear model, meta-analysis, weighted bootstrap and jackknife variance estimators, zonal polynomials, Schur-convexity