Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Estimators with Nondecreasing Risk in a Multivariate Normal Distribution

  • Kim, Byung-Hwee (Department of Mathematics, Hanyang University) ;
  • Koh, Tae-Wook (Department of Statistics, Jeonju University, Jeonju, Chonbuk 560-759) ;
  • Baek, Hoh-Yoo (Department of Statistics, Wonkwang University, Iri, Chonbuk 570-749)
  • Published : 1995.06.01
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Abstract

Consider a p-variate $(p \geq 4)$ normal distribution with mean $\b{\theta}$ and identity covariance matrix. For estimating $\b{\theta}$ under a quadratic loss we investigate the behavior of risks of Stein-type estimators which shrink the usual estimator toward the mean of observations. By using concavity of the function appearing in the shrinkage factor together with new expectation identities for noncentral chi-squared random variables, a characterization of estimators with nondecreasing risk is obtained.

Keywords

References

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