Stein's idea and minimax admissible estimation of a multivariate normal mean |
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Authors: | Yuzo Maruyama |
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Institution: | Faculty of Economics, Center for Spatial Information Science, University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-0033, Japan |
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Abstract: | We consider estimation of a multivariate normal mean vector under sum of squared error loss.We propose a new class of minimax admissible estimator which are generalized Bayes with respect to a prior distribution which is a mixture of a point prior at the origin and a continuous hierarchical type prior. We also study conditions under which these generalized Bayes minimax estimators improve on the James–Stein estimator and on the positive-part James–Stein estimator. |
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Keywords: | Admissible Minimax The James– Stein estimator Estimation of a multivariate normal mean The Stein phenomenon |
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