On homogeneous James–Stein type estimators

On homogeneous James–Stein type estimators

The shrinkage factor of the James–Stein estimators of a multivariate normal involves the power of the squared norm of X. We show powers of the norm greater than 2 also give improvement, while lesser powers do not.

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Veröffentlicht in:Statistics & probability letters 2022-12, Vol.191, p.109638, Article 109638
Hauptverfasser: Boukehil, Djamila, Fourdrinier, Dominique, Mezoued, Fatiha, Strawderman, William E.
Format: Artikel
Sprache:eng
Schlagworte:
James–Stein estimator
Minimaxity
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Zusammenfassung:The shrinkage factor of the James–Stein estimators of a multivariate normal involves the power of the squared norm of X. We show powers of the norm greater than 2 also give improvement, while lesser powers do not.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2022.109638