Stein's idea and minimax admissible estimation of a multivariate normal mean

DOI10.1016/S0047-259X(03)00097-6zbMath1032.62007MaRDI QIDQ1421879

Yuzo Maruyama

Publication date: 3 February 2004

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

James-Stein estimatorTauberian theoremStein phenomenonEstimation of multivariate normal mean

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Minimax procedures in statistical decision theory (62C20) Admissibility in statistical decision theory (62C15)

Related Items (4)

SHRINKAGE EFFICIENCY BOUNDS ⋮ Admissibility and minimaxity of generalized Bayes estimators for spherically symmetric family ⋮ An extended class of minimax generalized Bayes estimators of regression coefficients ⋮ Necessary conditions for dominating the James-Stein estimator

Cites Work

• An approach to improving the James-Stein estimator
• Admissible minimax estimation of a multivariate normal mean with arbitrary quadratic loss
• Tail minimaxity in location vector problems and its applications
• Families of minimax estimators of the mean of a multivariate normal distribution
• Minimax Bayes estimators of a multivariate normal mean
• A unified and broadened class of admissible minimax estimators of a multivariate normal mean
• Improving on the James-Stein positive-part estimator
• On the construction of Bayes minimax estimators
• A family of admissible minimax estimators of the mean of a multivariate normal distribution
• Proper Bayes Minimax Estimators of the Multivariate Normal Mean
• Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems
• What is the Laplace Transform?
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