The exact mean squared error risks of preliminary test type estimators for the multivariate normal mean

DOI10.1080/03610928708829483zbMATH Open0645.62058OpenAlexW1996074158MaRDI QIDQ3788907FDOQ3788907

Authors: Youngjo Lee 

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1080/03610928708829483

Recommendations

• Comparisons of improved risk estimators of the multivariate mean vector
• Minimaxity and nonminimaxity of a preliminary test estimator for the multivariate normal mean
• Comparisons among preliminary test estimators for error variance based on W, LR and LM tests
• Estimation of the MSE matrix of the stein estimator
• On the inadmissibility of preliminary-test estimators when the loss involves a complexity cost

zbMATH Keywords

preliminary test estimatormultivariate normal meanexact mean squared error risksSclove modified Stein rule estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)

Cites Work

• Estimation of the mean of a multivariate normal distribution
• Title not available (Why is that?)
• 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
• Title not available (Why is that?)

Cited In (6)

• Sampling Performance of Some Joint One-Sided Preliminary Test Estimators under Squared Error Loss
• Comparisons of improved risk estimators of the multivariate mean vector
• Estimating risk and the mean squared error matrix in Stein estimation
• Risk behavior of a pre-test estimator for normal variance with the Stein- type estimator
• Comparisons among preliminary test estimators for error variance based on W, LR and LM tests
• Estimation of the MSE matrix of the stein estimator

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