On Homogeneous James–Stein Type Estimators
Statistics & probability letters(2022)
摘要
The shrinkage factor of the James–Stein estimators of a multivariate normal involves the power of the squared norm of X. We show powers of the norm greater than 2 also give improvement, while lesser powers do not.
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关键词
James-Stein estimator,Minimaxity
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