Component-Wise Minimax Property of Stein's Rule.
CLEMSON UNIV S C DEPT OF MATHEMATICAL SCIENCES
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For estimating the mean of a p-variate normal distribution it is known that Steins rule is minimax. It is shown for a subfamily of Steins estimators that the vector consisting of any K or 3 components of the estimator is also minimax for estimating corresponding components of the mean vector. Author
- Statistics and Probability