Dominating James-Stein positive-part estimator for normal mean with unknown covariance matrix

Communications in Statistics - Theory and Methods

Volumn 25, Issue 12, 1996, Pages 2875-2900

  Sugiura, Nariaki ^a   Takagi, Yoshiharu ^a  

^a UNIVERSITY OF TSUKUBA   (Japan)

Author keywords

Decision theory; Estimation of the mean vector, Multivariate normal distribution; Inadmissibility of James Stein positive part estimator; Noncentral F distribution; Quadratic loss; Shrinkage estimator

Indexed keywords

EID: 0009150736     PISSN: 03610926     EISSN: None     Source Type: Journal    
DOI: 10.1080/03610929608831877     Document Type: Article

References (7)

1. Anderson, T.W.(1984). An-Introduction to Multivariate Statistical Analysis. Wiley, New York.
2. Baranchik,A.J.(1970). A family of minimax estimators of the mean of a multivariate normal distribution. Ann. Math. Statist. 41 642-645.
3. Brown, L.D.(1971). Admissible estimators recurrent diffusion and insoluble boundary value problems. Ann. Math. Statist. 42 855-903.
4. Brown,L.D. and Hwang,J.T.(1982). A unified admissibility proof. In Statistical Decision Theory and Related Topics III(S.S.Gupta and J.O.Berger eds) 205-230. Academic Press, New York.
5. Shao,P.Y. and Strawderman, W.E. (1994). Improving on the James-Stein positive-part estimator. Ann. Statist. 22 1517-1538.
6. Takagi,Y.(1995). Improving on James-Stein positive-part estimator for normal mean vector (in Japanese). Master Thesis, Dept. Math., Univ. of Tsukuba.
7. Takemura,A.(1991). An Introduction to Multivariate Statistical Inference (in Japanese). Kyoritsu Shuppan, Tokyo.