Monotonicity of risk for a shrinkage estimator of a multivariate normal mean

DOI10.1080/03610928808829636MaRDI QIDQ3787307zbMATH OpenOpenAlexFDO

Authors Tatsuya Kubokawa

Publication date 1988

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928808829636

zbMATH Keywords

shrinkage estimatorsmaximum likelihood estimatorJames-Stein estimatorrisk functionsnormal meannoncentrality parametersmonotone nondecreasing

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

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Cites work

• Combining Minimax Shrinkage Estimators
• Estimation with quadratic loss.
• Families of minimax estimators of the mean of a multivariate normal distribution
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution
• Precision of individual estimators in simultaneous estimation of parameters

Cited in

(3)

• Estimating risk and the mean squared error matrix in Stein estimation
• Estimators with nondecreasing risk: Application of a chi-squared identity
• The Stein phenomenon for monotone incomplete multivariate normal data

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