Stein's idea and minimax admissible estimation of a multivariate normal mean

Yuzo Maruyama

Journal of Multivariate Analysis, 2004, vol. 88, issue 2, 320-334

Abstract: We consider estimation of a multivariate normal mean vector under sum of squared error loss.We propose a new class of minimax admissible estimator which are generalized Bayes with respect to a prior distribution which is a mixture of a point prior at the origin and a continuous hierarchical type prior. We also study conditions under which these generalized Bayes minimax estimators improve on the James-Stein estimator and on the positive-part James-Stein estimator.

Keywords: Admissible; Minimax; The; James-Stein; estimator; Estimation; of; a; multivariate; normal; mean; The; Stein; phenomenon (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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