An approach to improving the James-Stein estimator

For the mean vector of a p-variate normal distribution (p [greater, double equals] 3), the generalized Bayes estimators dominating the James-Stein estimator under quadratic loss are given based on the methods of Brown, Brewster and Zidek for estimating a normal variance.

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Year of publication:	1991
Authors:	Kubokawa, Tatsuya
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 36.1991, 1, p. 121-126
Publisher:	Elsevier
Keywords:	James-Stein estimator generalized Bayes estimator inadmissibility quadratic loss

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

Persistent link: https://www.econbiz.de/10005093900