A class of modified stein estimators with easily computable risk functions |
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Authors: | Samuel D Oman |
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Institution: | Department of Statistics, The Hebrew University of Jerusalem, Israel;The University of California, Riverside, CAUSA |
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Abstract: | Consider the problem of estimating the mean of a p (≥3)-variate multi-normal distribution with identity variance-covariance matrix and with unweighted sum of squared error loss. A class of minimax, noncomparable (i.e. no estimate in the class dominates any other estimate in the class) estimates is proposed; the class contains rules dominating the simple James-Stein estimates. The estimates are essentially smoothed versions of the scaled, truncated James-Stein estimates studied by Efron and Morris. Explicit and analytically tractable expressions for their risks are obtained and are used to give guidelines for selecting estimates within the class. |
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Keywords: | Primary 62F10 Secondary 62C99 Multivariate normal mean Stein estimates |
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