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Expansions for the risk of Stein type estimates for non-normal data
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Christopher S. Withers
Veröffentlicht/Copyright:
31. Mai 2011
Abstract
We consider the James–Stein problem for non-normal data for estimating a p-vector θ. It is shown how the risk may be expanded in powers of p-1. The factor 1-2/p that distinguishes the James–Stein estimate from the Stein estimate is shown to have only O(p-2) effect on the risk. The case, where the variance must be estimated is studied for the one-way unbalanced ANOVA problem.
Published Online: 2011-05-31
Published in Print: 2011-05
© by Oldenbourg Wissenschaftsverlag, Manchester M13 9PL, Germany
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Artikel in diesem Heft
- Expansions for the risk of Stein type estimates for non-normal data
- Mean-risk tests of stochastic dominance
- Non-parametric drift estimation for diffusions from noisy data
- Comparison of Markov processes via infinitesimal generators
- Method of moment estimation in time-changed Lévy models
Schlagwörter für diesen Artikel
confidence regions;
James-Stein estimate;
multiple shrinkage estimates;
one-way ANOVA
Artikel in diesem Heft
- Expansions for the risk of Stein type estimates for non-normal data
- Mean-risk tests of stochastic dominance
- Non-parametric drift estimation for diffusions from noisy data
- Comparison of Markov processes via infinitesimal generators
- Method of moment estimation in time-changed Lévy models
