Dominance of the positive-part version of the James-Stein estimator
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.
Year of publication: |
1988
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Authors: | Nickerson, David M. |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 7.1988, 2, p. 97-103
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Publisher: |
Elsevier |
Subject: | estimation James-Stein estimator positive-part rule |
Saved in:
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