Stein's idea and minimax admissible estimation of a multivariate normal mean

DOI10.1016/S0047-259X(03)00097-6zbMATH Open1032.62007MaRDI QIDQ1421879FDOQ1421879

Authors: Yuzo Maruyama 

Publication date: 3 February 2004

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

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zbMATH Keywords

James-Stein estimatorTauberian theoremStein phenomenonEstimation of multivariate normal mean

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20) Admissibility in statistical decision theory (62C15)

Cites Work

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• Proper Bayes Minimax Estimators of the Multivariate Normal Mean
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• Admissible minimax estimation of a multivariate normal mean with arbitrary quadratic loss
• A family of admissible minimax estimators of the mean of a multivariate normal distribution
• Tail minimaxity in location vector problems and its applications
• A unified and broadened class of admissible minimax estimators of a multivariate normal mean
• An approach to improving the James-Stein estimator
• Improving on the James-Stein positive-part estimator
• Minimax Bayes estimators of a multivariate normal mean

Cited In (28)

• An estimator for the means of mormal populations
• Selecting a minimax estimator doing well at a point
• Bayesian input in Stein estimation and a new minimax empirical Bayes estimator
• Minimax shrinkage estimators and estimators dominating the James-Stein estimator under the balanced loss function
• On the Stein phenomenon under divergence loss and an unknown variance-covariance matrix
• An admissibility result on estimation of a multivariate normal mean vector
• Estimation with quadratic loss.
• James-Stein estimation problem for a multivariate normal random matrix and an improved estimator
• A note on the comparison of the Stein estimator and the James-Stein estimator
• On two-stage james-stein sstimators
• Integral inequality for minimaxity in the Stein problem
• A family of admissible minimax estimators of the mean of a multivariate, normal distribution
• A constructive manifestation of the Kleene-Kreisel continuous functionals
• Admissibility and minimaxity of generalized Bayes estimators for spherically symmetric family
• Sensitivity of minimaxity and admissibility in the estimation of a positive normal mean
• On Bayes and unbiased estimators of loss
• Necessary conditions for dominating the James-Stein estimator
• Characterization of Priors in the Stein Problem
• An extended class of minimax generalized Bayes estimators of regression coefficients
• Admissible estimators of a multivariate normal mean vector when the scale is unknown
• James-stein estimation with constraints on the norm
• A sharp boundary for SURE-based admissibility for the normal means problem under unknown scale
• Shrinkage efficiency bounds
• Admissible minimax estimators of a mean vector of scale mixtures of multivariate normal distributions
• Improved minimax estimation of a multivariate normal mean under heteroscedasticity
• Title not available (Why is that?)
• The inadmissibility of the Stein estimator in normal multiple regression equations
• Bayesian optimality and intervals for Stein-type estimates

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