Dominance of the positive-part version of the James-Stein estimator

David Nickerson ()

Statistics & Probability Letters, 1988, vol. 7, issue 2, 97-103

Abstract: James-Stein estimators are shown to be dominated by positive-part versions when estimating the mean of a p-variate normal distribution (p [greater-or-equal, slanted] 3), where the covariance matrix is known up to a constant. A Monte Carlo study is undertaken to compare their risks.

Keywords: estimation; James-Stein; estimator; positive-part; rule (search for similar items in EconPapers)
Date: 1988
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