Stein's phenomenon in estimation of means restricted to a polyhedral convex cone

Hisayuki Tsukuma and Tatsuya Kubokawa

Journal of Multivariate Analysis, 2008, vol. 99, issue 1, 141-164

Abstract: This paper treats the problem of estimating the restricted means of normal distributions with a known variance, where the means are restricted to a polyhedral convex cone which includes various restrictions such as positive orthant, simple order, tree order and umbrella order restrictions. In the context of the simultaneous estimation of the restricted means, it is of great interest to investigate decision-theoretic properties of the generalized Bayes estimator against the uniform prior distribution over the polyhedral convex cone. In this paper, the generalized Bayes estimator is shown to be minimax. It is also proved that it is admissible in the one- or two-dimensional case, but is improved on by a shrinkage estimator in the three- or more-dimensional case. This means that the so-called Stein phenomenon on the minimax generalized Bayes estimator can be extended to the case where the means are restricted to the polyhedral convex cone. The risk behaviors of the estimators are investigated through Monte Carlo simulation, and it is revealed that the shrinkage estimator has a substantial risk reduction.

Keywords: Admissibility; Decision; theory; Generalized; Bayes; estimator; Inadmissibility; James-Stein; estimator; Minimaxity; Polyhedral; convex; cone; Restricted; parameters; Shrinkage; estimation; Simple; order; restriction; Simultaneous; estimation; Tree; order; restriction; Umbrella; order; restriction (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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