A Note on Estimating the Improvement in Stein-Type Estimators.
STANFORD UNIV CA DEPT OF STATISTICS
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In estimating the mean of a multivariate normal distribution under squared error loss, the maximum likelihood estimation may be uniformly improved upon. For a dominating estimator, how may we estimate the improvement Results from Efron and Morris enable a unique unbiased estimator of the improvement for orthogonally invariant estimators. However, this estimator neednt be admissible. We develop, for the James-Stein estimator, alternative improvement estimators. Author
- Statistics and Probability