Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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An Improvement of the James-Stein Estimator with Some Shrinkage Points using the Stein Variance Estimator

  • Lee, Ki Won (Center for Integrated General Education, Hanyang University) ;
  • Baek, Hoh Yoo (Division of Mathematics and Informational Statistics, Wonkwang University)
  • Received : 2013.05.20
  • Accepted : 2013.07.01
  • Published : 2013.07.31
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Abstract

Consider a p-variate($p{\geq}3$) normal distribution with mean ${\theta}$ and covariance matrix ${\sum}={\sigma}^2{\mathbf{I}}_p$ for any unknown scalar ${\sigma}^2$. In this paper we improve the James-Stein estimator of ${\theta}$ in cases of shrinking toward some vectors using the Stein variance estimator. It is also shown that this domination does not hold for the positive part versions of these estimators.

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References

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