James-Stein Estimation from an Alternative Perspective |
| |
| Authors: | Jerome P. Keating Robert L. Mason |
| |
| Affiliation: | 1. Division of Mathematics, Computer Science, and Statistics , University of Texas , San Antonio , Texas , 78284 , USA;2. Statistical Analysis Section, Southwest Research Institute , San Antonio , Texas , 78284 , USA |
| |
| Abstract: | In the comparison of estimators, the typical viewpoint of mean squared error has been challenged by C. R. Rao. In this article we propose a method of selecting estimators in normal populations based on their regions of preference. These regions of preference are a natural consequence of Rao's emphasis on Pitman nearness. We apply the method in the case of estimation of the mean of a bivariate normal through the James-Stein class. |
| |
| Keywords: | Adaptive estimator Pitman nearness Mean squared error |
|
|
