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Estimators with nondecreasing risk: application of a chi-squared identity

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  • Casella, George

Abstract

By using an apparently little known fact about concave functions together with a new expectation identity for noncentral chi-squared random variables, a characterization of risk functions of Stein-type estimators is obtained. In particular, concavity of the function appearing in the shrinkage factor is related to the estimator's risk function being nondecreasing.

Suggested Citation

  • Casella, George, 1990. "Estimators with nondecreasing risk: application of a chi-squared identity," Statistics & Probability Letters, Elsevier, vol. 10(2), pages 107-109, July.
    • Handle: RePEc:eee:stapro:v:10:y:1990:i:2:p:107-109
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    Cited by:

    1. Giuseppe Luca & Jan R. Magnus, 2021. "Weak Versus Strong Dominance of Shrinkage Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 239-266, December.
    2. Kubokawa, T. & Srivastava, M. S., 2002. "Estimating Risk and the Mean Squared Error Matrix in Stein Estimation," Journal of Multivariate Analysis, Elsevier, vol. 82(1), pages 39-64, July.

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