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Dominating james-stein positive-part estimator for normal mean with unknown covariance matrix |
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| Authors: | Nariaki Sugiura Yoshiharu Takagi |
| Affiliation: | Department of Mathematics , University of Tsukuba , Ibaraki, 305, Japan |
| Abstract: | Assume that we have a random sample of size n from p-variate normal population and we wish to estimate the mean vector under quadratic loss with respect to the inverse of the unknown covariance matrix, A class of superior estimators to James-Stein positive part estimator is given when n>max{9p+10,13p-7}, based on the argument by Shao and Strawderman(1994). |
| Keywords: | Estimation of the mean vector Multivariate normal distribution Decision theory Quadratic loss Inadmissibility of Jame-Stein positive-part estimator Noncentral F-distribution Shrinkage estimator |