A sequence of improvements over the James-Stein estimator

Guo, Ying (Ingrid) Yueh and Nabendu Pal

Journal of Multivariate Analysis, 1992, vol. 42, issue 2, 302-317

Abstract: In this article, we consider the problem of estimating a p-variate (p >= 3) normal mean vector in a decision-theoretic setup. Using a simple property of the noncentral chi-square distribution, we have produced a sequence of smooth estimators dominating the James-Stein estimator and each improved estimator is better than the previous one. It is also shown by using a technique of [5]. J. Multivariate Anal.36 121-126) that our smooth estimators can be dominated by non-smooth estimators.

Keywords: James-Stein; estimator; quadratic; loss; function; risk; function; inadmissibility (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (3)

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