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Second-Order Pitman Admissibility and Pitman Closeness: The Multiparameter Case and Stein-Rule Estimators

Author

Listed:
  • Ghosh, Jayanta K.
  • Mukerjee, Rahul
  • Sen, Pranab K.

Abstract

In a multiparameter estimation problem, for first-order efficient estimators, second-order Pitman admissibility, and Pitman closeness properties are studied. Bearing in mind the dominant role of Stein-rule estimators in multiparameter estimation theory, such second-order properties are also studied for shrinkage maximum likelihood estimators.

Suggested Citation

  • Ghosh, Jayanta K. & Mukerjee, Rahul & Sen, Pranab K., 1996. "Second-Order Pitman Admissibility and Pitman Closeness: The Multiparameter Case and Stein-Rule Estimators," Journal of Multivariate Analysis, Elsevier, vol. 57(1), pages 52-68, April.
    • Handle: RePEc:eee:jmvana:v:57:y:1996:i:1:p:52-68
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