A note on improving on a vector of coordinate-wise estimators of non-negative means via shrinkage

Yuan-Tsung Chang, Takeru Matsuda and William E. Strawderman

Statistics & Probability Letters, 2019, vol. 153, issue C, 143-150

Abstract: We study improved shrinkage estimation of a vector of non-negative means. We concentrate on the Gaussian case with known scale, but do not necessarily assume the initial estimator is minimax. As a result, we find improved shrinkage estimators in fewer than 3 dimension in certain cases. Generalized Bayes estimators which may be improved via shrinkage in 1 and 2 dimensions illustrate the result. We also consider improved positive part estimators.

Keywords: Generalized Bayes estimator; Stein estimator; Katz estimator; Pseudo-Bayes estimator (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.06.005

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