Improvements over the james-stein estimator: A risk analysis

Abstract

Consider the problem of estimating a p-variate (p≥3) normal mean vector under the squared error loss when the dispersion matrix is assumed to be the identity matrix. Here we study the risk functions of several estimators which are uniformly better than the James-Stein estimator.

Keywords:

• James-Stein Estimator
• Squared error loss function
• Risk function
• Inadmissibility

^∗ To whom the correspondence should be addressed. AMS 1991 subject classifications: Primary 62C15; Secondary 62H12.

^∗ To whom the correspondence should be addressed. AMS 1991 subject classifications: Primary 62C15; Secondary 62H12.

Notes

^∗ To whom the correspondence should be addressed. AMS 1991 subject classifications: Primary 62C15; Secondary 62H12.