A simple motivation for James-Stein estimators

A purely frequentist development of James-Stein shrinkage estimators of the multivariate normal mean under quadratic loss functions is presented, which allows for an intuitive interpretation of these estimators as best estimators of best linear 'estimators' of the mean vector.

MoreLess

Year of publication:	1991
Authors:	Gupta, Arjun K. ; Peña, Edsel A.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 12.1991, 4, p. 337-340
Publisher:	Elsevier
Keywords:	Admissibility multivariate normal quadratic loss risk function shrinkage estimator

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138189