On characterizations of pitman closeness of some shrinkage estimators |
| |
| Authors: | Pranab K Sen Debapriya Sengupta |
| |
| Institution: | 1. Depts. of Biostatistics and Statistics , University of North Carolina , Chapel Hill, NC, 27599-3260;2. Indian Statistical Institute , 203 B.T. Road, Calcutta, 700 035, India |
| |
| Abstract: | For the multivariate normal mean (vector) estimation problem, some characterizations of the Pitman closest property of a general class of shrinkage (or Stein-rule) estimators (including the so called positive-rule versions) are studied. Further, for the same model when the parameter is restricted to a positively homogeneous cone, Pitman closeness of restricted shrinkage maximum likelihood estimators is established. |
| |
| Keywords: | Pitman closest estimator positive-rule version positively homogeneous cone quadratic loss restricted MLE transitiueness |
|
|
