Makalic, Enes; Schmidt, Daniel F. - In: Statistics & Probability Letters 79 (2009) 9, pp. 1155-1161
This note considers estimation of the mean of a multivariate Gaussian distribution with known variance within the Minimum Message Length (MML) framework. Interestingly, the resulting MML estimator exactly coincides with the positive-part James-Stein estimator under the choice of an uninformative...