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A note on classical Stein-type estimators in elliptically contoured models
Authors:M. Arashi  S.M.M. Tabatabaey
Affiliation:1. Faculty of Mathematics, Shahrood University of Technology, P.O. Box 316-3619995161, Shahrood, Iran;2. Department of Statistics, Faculty of Mathematical Sciences, Ferdowsi University of Mashhad, Mashhad, Iran
Abstract:
In this paper the conditions under which a broad class of Stein-type estimators dominates the best invariant unbiased estimator of the mean of an elliptically contoured population have been established. The superiority conditions are derived for both known and unknown scale structures. Also an example is given when the general scale matrix is assumed to be known in linear regression.
Keywords:Stein-type estimators   Elliptically contoured distribution   Signed measure   Quadratic loss function   Weight function   Inverse Laplace transform   Multiple regression model
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