Improving the James-Stein estimator using the Stein variance estimator

J. Calvin Berry

Statistics & Probability Letters, 1994, vol. 20, issue 3, 241-245

Abstract: The Stein variance estimator is used to improve the James-Stein estimator of a multivariate normal mean vector. It is also demonstrated that this domination does not hold for the positive part versions of these estimators.

Keywords: Shrinkage; estimator; James-Stein; estimator; Stein; variance; estimator (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (4)

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