Dominance of the positive-part version of the James-Stein estimator

DOI10.1016/0167-7152(88)90033-8zbMath0654.62044OpenAlexW1990112074MaRDI QIDQ1108715

David M. Nickerson

Publication date: 1988

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(88)90033-8

zbMATH Keywords

Monte Carlo studydominationmean estimationp-variate normal distributionJames-Stein estimatorspositive-part rule

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

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PMSE dominance of the positive-part shrinkage estimator in a regression model when relevant regressors are omitted. ⋮ MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated

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