Dominance of the positive-part version of the James-Stein estimator

James-Stein estimators are shown to be dominated by positive-part versions when estimating the mean of a p-variate normal distribution (p [greater-or-equal, slanted] 3), where the covariance matrix is known up to a constant. A Monte Carlo study is undertaken to compare their risks.

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Year of publication:	1988
Authors:	Nickerson, David M.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 7.1988, 2, p. 97-103
Publisher:	Elsevier
Subject:	estimation James-Stein estimator positive-part rule

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

Persistent link: https://www.econbiz.de/10005319541