On unbiased and improved loss estimation for the mean of a multivariate normal distribution with unknown variance.

DOI10.1016/S0378-3758(02)00406-8zbMath1075.62567MaRDI QIDQ1417791

Alan T. K. Wan, Guo Hua Zou

Publication date: 6 January 2004

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

Risk; James-Stein estimator; Quadratic loss; Positive-part rule

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62C15: Admissibility in statistical decision theory

Related Items

Data based loss estimation of the mean of a spherical distribution with a residual vector, Inadmissibility of the corrected Akaike information criterion, A note on loss estimation, Estimates of low bias for the multivariate normal, Improved loss estimation for a normal mean matrix, A paradoxical argument about domination, Improved loss estimation for the lasso: a variable selection tool, On improved loss estimation for shrinkage estimators, PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS

Cites Work

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• Loss functions for loss estimation
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• Estimating the loss of estimators of a binomial parameter
• Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
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