Estimators with nondecreasing risk: Application of a chi-squared identity

DOI10.1016/0167-7152(90)90004-QzbMath0699.62006OpenAlexW1989623323MaRDI QIDQ913389

George Casella

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1016/0167-7152(90)90004-q

zbMATH Keywords

concave functionsmultivariate normalcharacterization of risk functions of Stein-type estimatorsestimator's risk functionnew expectation identitynoncentral chi-squared random variablesshrinkage factor

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)

Related Items (6)

IMPROVED ESTIMATORS OF THE NATURAL PARAMETERS IN CONTINUOUS MULTIPARAMETER EXPONENTIAL FAMILIES ⋮ Computing the moments of a truncarted noncentral chi-square distribution ⋮ Computing the moments of a truncated noncentral chi-square distribution ⋮ Estimating risk and the mean squared error matrix in Stein estimation ⋮ A note on classical Stein-type estimators in elliptically contoured models ⋮ Sum-functions of spacings of increasing order

Cites Work

• Unnamed Item
• Estimation of the mean of a multivariate normal distribution
• Selecting a minimax estimator of a multivariate normal mean
• Minimax ridge regression estimation
• Minimax estimators of the mean of a multivariate normal distribution
• Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
• Proper Bayes Minimax Estimators of the Multivariate Normal Mean

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