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A property of Stein's estimator for the mean of a multivariate normal distribution
Author(s) -
Susarla V.
Publication year - 1976
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/j.1467-9574.1976.tb00262.x
Subject(s) - mathematics , multivariate normal distribution , estimator , multivariate statistics , mean squared error , statistics , james–stein estimator , upper and lower bounds , normal distribution , normal wishart distribution , bayes estimator , efficient estimator , minimum variance unbiased estimator , mathematical analysis
Summary A uniform bound on the risk (under squared error loss) of Stein's estimator Ψ 1 for the mean of the multivariate normal distribution is given. Using the bound, the asymptotic behaviour of the risk of Ψ 1 under a Bayesian assumption is obtained.