Expansions for the risk of Stein type estimates for non-normal data

Withers Christopher S. and Nadarajah Saralees
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Withers Christopher S.: Applied Mathematics Group, Industrial Research Limited, Neuseeland

Statistics & Risk Modeling, 2011, vol. 28, issue 2, 81-95

Abstract: We consider the James–Stein problem for non-normal data for estimating a p-vector θ. It is shown how the risk may be expanded in powers of p-1. The factor 1-2/p that distinguishes the James–Stein estimate from the Stein estimate is shown to have only O(p-2) effect on the risk. The case, where the variance must be estimated is studied for the one-way unbalanced ANOVA problem.

Keywords: confidence regions; James-Stein estimate; multiple shrinkage estimates; one-way ANOVA (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:28:y:2011:i:2:p:81-95:n:1

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DOI: 10.1524/stnd.2011.1054

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