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On the Sampling Performance of an Improved Stein Inequality Restricted Estimator
Author(s) -
Ohtani Kazuhiro,
Wan Alan T.K.
Publication year - 1998
Publication title -
australian and new zealand journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 1369-1473
DOI - 10.1111/1467-842x.00020
Subject(s) - mathematics , estimator , minimum variance unbiased estimator , stein's unbiased risk estimate , bias of an estimator , inequality , efficient estimator , invariant estimator , statistics , james–stein estimator , quadratic equation , variance (accounting) , consistent estimator , econometrics , mathematical analysis , economics , geometry , accounting
Using the Stein (1964) variance estimator, this paper defines a modified Stein inequality constrained estimator and derives its exact risk under quadratic loss. Numerical evaluations show that over a wide range of the parameter space, the modified Stein inequality constrained estimator has lower risk than the traditional Stein inequality constrained estimator introduced by Judge et al . (1984).