Improved estimation of the MSEs and the MSE matrices for shrinkage estimators of multivariate normal means and their applications
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Publication:6207035
arXiv0710.1171MaRDI QIDQ6207035FDOQ6207035
Authors: Hisayuki Hara 
Publication date: 5 October 2007
Abstract: In this article we provide some nonnegative and positive estimators of the mean squared errors(MSEs) for shrinkage estimators of multivariate normal means. Proposed estimators are shown to improve on the uniformly minimum variance unbiased estimator(UMVUE) under a quadratic loss criterion. A similar improvement is also obtained for the estimators of the MSE matrices for shrinkage estimators. We also apply the proposed estimators of the MSE matrix to form confidence sets centered at shrinkage estimators and show their usefulness through numerical experiments.
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