Estimation of the MSE matrix of the stein estimator

DOI10.2307/3314635zbMath0649.62048OpenAlexW1994163755MaRDI QIDQ3795071

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Publication date: 1988

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3314635

zbMATH Keywords

shrinkage estimatorunknown covariance matrixquadratic lossStein estimatormultivariate normal meanmean-squared-errorestimated MSE matrixUniformly minimum-variance unbiased (UMVU) estimators of the total risk

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Related Items (1)

Estimating risk and the mean squared error matrix in Stein estimation

Cites Work

• Estimation of the mean of a multivariate normal distribution
• Multivariate empirical Bayes and estimation of covariance matrices
• Minimax estimation of a normal mean vector for arbitrary quadratic loss and unknown covariance matrix
• Limit expressions for the risk of james‐stein estimators
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