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

DOI10.1080/03610928808829636zbMATH Open0644.62061OpenAlexW2074538663MaRDI QIDQ3787307FDOQ3787307

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

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zbMATH Keywords

shrinkage estimatorsmaximum likelihood estimatorJames-Stein estimatorrisk functionsnormal meannoncentrality parametersmonotone nondecreasing

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Cites Work

• 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
• Combining Minimax Shrinkage Estimators

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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