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http://dx.doi.org/10.5351/CSAM.2013.20.4.329

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)
Publication Information
Communications for Statistical Applications and Methods / v.20, no.4, 2013 , pp. 329-337 More about this Journal
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.
Keywords
Shrinkage points; James-Stein estimator; Stein variance estimator; domination;
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Times Cited By KSCI : 2  (Citation Analysis)
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