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Dominance of the positive-part version of the James-Stein estimator

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Author Info
Nickerson, David M.

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Abstract

James-Stein estimators are shown to be dominated by positive-part versions when estimating the mean of a p-variate normal distribution (p [greater-or-equal, slanted] 3), where the covariance matrix is known up to a constant. A Monte Carlo study is undertaken to compare their risks.

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File URL: http://www.sciencedirect.com/science/article/B6V1D-47N62VK-56/2/f5e50f4c7d762d1b481dc1feff49daa6
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Publisher Info
Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 7 (1988)
Issue (Month): 2 (September)
Pages: 97-103
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Handle: RePEc:eee:stapro:v:7:y:1988:i:2:p:97-103

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Related research
Keywords: estimation James-Stein estimator positive-part rule;

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