A Note on Estimating the Improvement in Stein-Type Estimators.

Abstract

In estimating the mean of a multivariate normal distribution under squared error loss, the maximum likelihood estimation may be uniformly improved upon. For a dominating estimator, how may we estimate the improvement? Results from Efron and Morris enable a unique unbiased estimator of the improvement for orthogonally invariant estimators. However, this estimator needn't be admissible. We develop, for the James-Stein estimator, alternative improvement estimators. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Apr 10, 1986
Accession Number
ADA167033

Entities

People

  • Alan E. Gelfand

Organizations

  • Stanford University

Tags

DTIC Thesaurus Topics

  • Estimators
  • Maximum Likelihood Estimation
  • Military Research
  • Normal Distribution
  • Plastic Explosives
  • Probability
  • Random Variables
  • Simulations
  • Statistical Analysis
  • Statistics
  • United States
  • United States Government

Fields of Study

  • Mathematics

Readers

  • Statistical inference.