Li, Tze Fen - In: Statistics & Probability Letters 1 (1983) 3, pp. 125-128
Let X be a p-dimensional normal random vector with unknown mean vector [theta] and covariance [sigma]2I. Let S/[sigma]2, independent of X, be chi-square with n degrees of freedom. Relative to the squared error loss, James and Stein (1961) have obtained an estimator which dominates the usual...