Tong, Tiejun; Jang, Homin; Wang, Yuedong - In: Journal of Multivariate Analysis 107 (2012) C, pp. 232-243
In this paper we propose James–Stein type estimators for variances raised to a fixed power by shrinking individual variance estimators towards the arithmetic mean. We derive and estimate the optimal choices of shrinkage parameters under both the squared and the Stein loss functions. Asymptotic...