Robustified version of Stein's multivariate location estimation

We study a subclass of the Stein class of estimators for multivariate normal mean minimax with respect to quadratic loss. Besides being minimax for normal distribution, these estimators uniformly dominate the naive estimator X also for a distribution normal inside an interval and exponential in tails.

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Year of publication:	1990
Authors:	Jurecková, Jana ; Saleh, Ehsanes ; A. K. Md.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 9.1990, 4, p. 375-380
Publisher:	Elsevier
Keywords:	Minimax estimator Bayes estimator superharmonic function quadratic loss

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

Persistent link: https://www.econbiz.de/10005224153