Notes on the Extended Class of Stein Estimators
STANFORD UNIV CA DEPT OF STATISTICS
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An estimator in the extended class of Stein estimators has two undesirable properties. For a small value of prior guess, it ignores the data. Moreover, for some cases its risk is not uniformly smaller than that of Stein estimator. We show that there exists a lower bound on tau S to guarantee a smaller risk, and the resulting estimator does not ignore the data.
- Statistics and Probability