Improving on the James-Stein positive-part estimator

DOI10.1214/aos/1176325640zbMath0820.62051OpenAlexW2141623022MaRDI QIDQ1805563

Peter Yi-Shi Shao, William E. Strawderman

Publication date: 14 September 1995

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176325640

zbMATH Keywords

squared error lossminimaxityuniformly minimum variance unbiased estimatorlocation parametersunbiased estimator of riskmultivariate normal mean vectorpositive-part James-Stein rule

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Statistical decision theory (62C99)

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SHRINKAGE EFFICIENCY BOUNDS ⋮ Shrinkage confidence procedures ⋮ A Note on the Comparison of the Stein Estimator and the James-Stein Estimator ⋮ An application of a minimax Bayes rule and shrinkage estimators to the portfolio selection problem under the Bayesian approach ⋮ James-Stein estimation problem for a multivariate normal random matrix and an improved estimator ⋮ Hybrid regularisation and the (in)admissibility of ridge regression in infinite dimensional Hilbert spaces ⋮ Stein's idea and minimax admissible estimation of a multivariate normal mean ⋮ Unnamed Item ⋮ On shrinkage estimators improving the positive part of James-Stein estimator ⋮ Stein estimation -- a review ⋮ On homogeneous James-Stein type estimators ⋮ MSE dominance of the PT-2SHI estimator over the positive-part Stein-rule estimator in regression ⋮ Dominating james-stein positive-part estimator for normal mean with unknown covariance matrix ⋮ On an adjustment of degrees of freedom in the minimim mean squared error ertimator ⋮ MSE performance of a heterogeneous pre-test estimator ⋮ The Stein effect for Fréchet means ⋮ Necessary conditions for dominating the James-Stein estimator

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