Improvements over the james-stein estimator: A risk analysis

DOI10.1080/00949659308811544zbMATH Open0832.62047OpenAlexW1971025139MaRDI QIDQ4864196FDOQ4864196

Authors: Ching-Hui Chang, Jyh-Jiuan Lin, Nabendu Pal 

Publication date: 29 January 1996

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659308811544

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zbMATH Keywords

James-Stein estimatorinadmissibilitysquared error lossrisk functionsnormal mean vector

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Admissibility in statistical decision theory (62C15)

Cites Work

• Estimation of the mean of a multivariate normal distribution
• Estimation with quadratic loss.
• Improving on equivariant estimators
• Inadmissibility of the Usual Estimators of Scale parameters in Problems with Unknown Location and Scale Parameters
• Multivariate empirical Bayes and estimation of covariance matrices
• An approach to improving the James-Stein estimator
• A sequence of improvements over the James-Stein estimator

Cited In (12)

• A sequence of improvements over the James-Stein estimator
• Expansions for the risk of Stein type estimates for non-normal data
• Estimating risk and the mean squared error matrix in Stein estimation
• Stein estimation -- a review
• Expansion estimators improving the bias and risk of James-Stein's shrinkage estimator
• 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
• An Explicit Formula for the Risk of the Positive-Part James-Stein Estimator
• On sharper bounds for the risk of james-stein estimators
• Component risk in multiparameter estimation
• Estimation Of A Multivariate Normal Mean Vector And Local Improvements
• Estimation of a mean vector under quartic loss

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