Communications for Statistical Applications and Methods

  • 제12권2호
  • /
  • Pages.463-472
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  • 2005
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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A Sequence of Improvement over the Lindley Type Estimator with the Cases of Unknown Covariance Matrices

  • Kim, Byung-Hwee (Department of Mathematics, Hanyang University) ;
  • Baek, Hoh-Yoo (Division of Mathematics and Informational Statistics, Wonkwang University)
  • 발행 : 2005.08.01
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초록

In this paper, the problem of estimating a p-variate (p $\ge$4) normal mean vector is considered in decision-theoretic set up. Using a simple property of the noncentral chi-square distribution, a sequence of estimators dominating the Lindley type estimator with the cases of unknown covariance matrices has been produced and each improved estimator is better than previous one.

키워드

참고문헌

  1. Casella, G. and Berger, R. L. (1990). Statistical Inference, Brooks/Cole Publishing Company, Belmont, California
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  3. Ghosh, M., Hwang, J. T. and Tsui, K. K. (1984). Construction of improved estimators in multiparameter estimation for continuous exponential families, Journal of Multivariate Analysis 14, 212-220 https://doi.org/10.1016/0047-259X(84)90006-X
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  6. James, W. and Stein, C. (1961). Estimation with quadratic loss, In Proceedings of the Fourth Berkely Symposium on Mathematics, Statistics and Probability 1, 361-380, Univ. of California Press, Berkeley
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  8. Lindley, D. V. (1962). Discussion of paper by C. Stein, Journal of Royal Statistical Society B24, 256-296
  9. Rao, C. R. (1983). Linear Statistical Inference and Its Application, Second Edition, John Wiley & Sons

피인용 문헌

  1. Improvement of the Modified James-Stein Estimator with Shrinkage Point and Constraints on the Norm vol.6, pp.4, 2013, https://doi.org/10.13160/ricns.2013.6.4.251