Improving the James-Stein estimator using the Stein variance estimator

DOI10.1016/0167-7152(94)90049-3zbMath0801.62059MaRDI QIDQ1332901

J. Calvin Berry

Publication date: 5 September 1994

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

Full work available at URL: https://doi.org/10.1016/0167-7152(94)90049-3

zbMATH Keywords

James-Stein estimator; shrinkage estimator; domination; Stein variance estimator; multivariate normal mean vector; positive part versions

Mathematics Subject Classification ID

62J07: Ridge regression; shrinkage estimators (Lasso)

Related Items

Applications of Improved Variance Estimators in a Multivariate Normal Mean Vector Estimation, ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION, An Appreciation of Balanced Loss Functions Via Regret Loss, Fractionally-supervised classification, All admissible linear estimators of a regression coefficient under a balanced loss function, Further improving the Stein-rule estimator using the Stein variance estimator in a misspecified linear regression model, Inadmissibility of the Stein-rule estimator under the balanced loss function, Stein estimation -- a review, On the use of the Stein variance estimator in the double \(k\) -class estimator when each individual regression coefficient is estimated, Shrinkage confidence procedures

Cites Work

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• Estimation of the mean of a multivariate normal distribution
• Proper Bayes minimax estimators of the multivariate normal mean vector for the case of common unknown variances
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution