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

Malay Ghosh and Victor Mergel

Journal of Multivariate Analysis, 2009, vol. 100, issue 10, 2331-2336

Abstract: 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 Stein [11] and Efron and Morris [5] are generalized considerably.

Keywords: Admissibility; Baranchik; class (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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