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Dominance of the positive-part version of the James-Stein estimator

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  • Nickerson, David M.

Abstract

James-Stein estimators are shown to be dominated by positive-part versions when estimating the mean of a p-variate normal distribution (p [greater-or-equal, slanted] 3), where the covariance matrix is known up to a constant. A Monte Carlo study is undertaken to compare their risks.

Suggested Citation

  • Nickerson, David M., 1988. "Dominance of the positive-part version of the James-Stein estimator," Statistics & Probability Letters, Elsevier, vol. 7(2), pages 97-103, September.
    • Handle: RePEc:eee:stapro:v:7:y:1988:i:2:p:97-103
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    Cited by:

    1. Namba, Akio, 2003. "PMSE dominance of the positive-part shrinkage estimator in a regression model when relevant regressors are omitted," Statistics & Probability Letters, Elsevier, vol. 63(4), pages 375-385, July.

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