Estimators with nondecreasing risk: application of a chi-squared identity

George Casella

Statistics & Probability Letters, 1990, vol. 10, issue 2, 107-109

Abstract: By using an apparently little known fact about concave functions together with a new expectation identity for noncentral chi-squared random variables, a characterization of risk functions of Stein-type estimators is obtained. In particular, concavity of the function appearing in the shrinkage factor is related to the estimator's risk function being nondecreasing.

Keywords: Minimax; Stein; estimation; multivariate; normal (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (3)

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