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Estimation of the MSE matrix of the stein estimator
Author(s) -
Bilodeau M.,
Srivastava M. S.
Publication year - 1988
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3314635
Subject(s) - mathematics , mean squared error , statistics , estimator , shrinkage estimator , minimum variance unbiased estimator , covariance matrix , bias of an estimator , multivariate normal distribution , efficient estimator , james–stein estimator , combinatorics , multivariate statistics
Uniformly minimum‐variance unbiased (UMVU) estimators of the total risk and the mean‐squared‐error (MSE) matrix of the Stein estimator for the multivariate normal mean with unknown covariance matrix are proposed. The estimated MSE matrix is helpful in identifying the components which contribute most to the total risk. It also contains information about the performance of the shrinkage estimator with respect to other quadratic loss functions.