Estimation of the Mean of a Multivariate Normal Distribution
Stein, Charles M.
Ann. Statist., Tome 9 (1981) no. 1, p. 1135-1151 / Harvested from Project Euclid
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Estimation of the means of independent normal random variables is considered, using sum of squared errors as loss. An unbiased estimate of risk is obtained for an arbitrary estimate, and certain special classes of estimates are then discussed. The results are applied to smoothing by use of moving averages and to trimmed analogs of the James-Stein estimate. A suggestion is made for calculating approximate confidence sets for the mean vector centered at an arbitrary estimate.
Publié le : 1981-11-14
Classification:  Minimax estimate,  Bayes estimate,  multivariate normal mean,  moving average,  James-Stein estimate,  confidence region,  trimmed mean,  simultaneous estimation,  62F15,  62F10,  62F25 
@article{1176345632,
     author = {Stein, Charles M.},
     title = {Estimation of the Mean of a Multivariate Normal Distribution},
     journal = {Ann. Statist.},
     volume = {9},
     number = {1},
     year = {1981},
     pages = { 1135-1151},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176345632}
}

Stein, Charles M. Estimation of the Mean of a Multivariate Normal Distribution. Ann. Statist., Tome 9 (1981) no. 1, pp.  1135-1151. http://gdmltest.u-ga.fr/item/1176345632/