On the Stein phenomenon under divergence loss and an unknown variance-covariance matrix

The paper develops a general class of shrinkage estimators for estimating the normal mean, which dominates the sample mean in three or higher dimensions under a general divergence loss. In the process, the earlier works of James and SteinÂ [11] and Efron and MorrisÂ [5] are generalized considerably.

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Year of publication:	2009
Authors:	Ghosh, Malay ; Mergel, Victor
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 100.2009, 10, p. 2331-2336
Publisher:	Elsevier
Subject:	Admissibility Baranchik class

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

Persistent link: https://www.econbiz.de/10008521125