SHRINKAGE DOMINATION IN A MULTIVARIATE COMMON-MEAN PROBLEM

被引:11
|
作者
GEORGE, EI
机构
来源
ANNALS OF STATISTICS | 1991年 / 19卷 / 02期
关键词
RISK; ROBUSTNESS; SHRINKAGE ESTIMATION; STEIN ESTIMATORS;
D O I
10.1214/aos/1176348130
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Consider the problem of estimating the p X 1 mean vector theta-under expected squared error loss, based on the observation of two independent multivariate normal vectors Y1 approximately N(p)(theta, sigma-2I) and Y2 approximately N(p)(theta, lambda-sigma-2I) when lambda-and sigma-2 are unknown. For p greater-than-or-equal-to 3, estimators of the form delta-eta = eta-Y1 + (1 - eta)Y2 where-eta is a fixed number in (0,1), are shown to be uniformly dominated in risk by Stein estimators in spite of the fact that independent estimates of scale are unavailable. A consequence of this result is that when lambda-is assumed known, shrinkage domination is robust to incorrect specification of lambda.
引用
收藏
页码:952 / 960
页数:9
相关论文
共 50 条