Supplemental Materials for Robust Empirical Bayes Confidence Intervals

This supplement is organized as follows. Supplemental Appendix D gives proofs of the formal results in the main text and details on Assumption C.5. Supplemental Appendix E gives details on the simulations. Supplemental Appendix F discusses the power of tests based on our empirical Bayes confidence intervals (EBCIs), and Supplemental Appendix G works through examples of the general shrinkage estimators in Section 6.1.