Some notes on improving upon the James-Stein estimator
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Publication:6478581
arXivmath/0701206MaRDI QIDQ6478581FDOQ6478581
Authors: Yuzo Maruyama 
Publication date: 7 January 2007
Abstract: We consider estimation of a multivariate normal mean vector under sum of squared error loss. We propose a new class of smooth estimators parameterized by alpha dominating the James-Stein estimator. The estimator for alpha=1 corresponds to the generalized Bayes estimator with respect to the harmonic prior. When alpha goes to infinity, the estimator converges to the James-Stein positive-part estimator. Thus the class of our estimators is a bridge between the admissible estimator (alpha=1) and the inadmissible estimator (alpha=infty). Although the estimators have quasi-admissibility which is a weaker optimality than admissibility, the problem of determining whether or not the estimator for alpha>1 admissible is still open.
Bayesian problems; characterization of Bayes procedures (62C10) Admissibility in statistical decision theory (62C15)
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