Estimating Risk and Mean Squared Error Matrix in Stein Estimation

Tatsuya Kubokawa and M. S. Srivastava
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Tatsuya Kubokawa: Faculty of Economics, University of Tokyo.
M. S. Srivastava: University of Toronto.

No CIRJE-F-25, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: It is well known that the uniformly minimum variance unbiased (UMVU) estimators of the risk and the mean squared error (MSE) matrix proposed in the literature for Stein estimators can take negative values with positive probability. In this paper, improved truncated estimators of the risk, risk difference, and MSE matrix are proposed and shown to be better than the UMVU estimators in terms of mean squared error.

Pages: 24 pages
Date: 1998-10
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:98cf25

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