Sequential shrinkage estimation of independent normal means with unkown variances

DOI10.1080/03610928608829238zbMath0602.62064OpenAlexW1977889213MaRDI QIDQ3738423

Malay Ghosh, David M. Nickerson

Publication date: 1986

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928608829238

zbMATH Keywords

James-Stein estimatordominationsample meanunknown variancesasymptotic risk expansionempirical minimax stopping ruleestimation of multi-variate normal mean

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Minimax procedures in statistical decision theory (62C20) Sequential estimation (62L12) Optimal stopping in statistics (62L15)

Related Items (1)

Modified Linex two-stage and purely sequential estimation of the variance in a normal distribution with illustrations using horticultural data

Cites Work

• Sequential point estimation of the difference of two normal means
• Combining independent normal mean estimation problems with unknown variances
• Multivariate sequential point estimation
• The Moment-Generating Function and Negative Integer Moments

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