The dominance and related optimality properties of the usual Stein-rule or shrinkage estimators are typically developed for quadratic error loss functions. It is shown that under the classical Pitman closeness criterion the Stein-rule estimators possess a similar dominance property when the "closeness" measure is based on suitable quadratic norms.
Publié le : 1989-09-14
Classification:
Inadmissibility,
loss functions,
Pitman closeness,
quadratic norm,
shrinkage estimators,
Stein phenomenon,
62C15,
62H12
@article{1176347276,
author = {Sen, Pranab Kumar and Kubokawa, Tatsuya and Saleh, A. K. Md. Ehsanes},
title = {The Stein Paradox in the Sense of the Pitman Measure of Closeness},
journal = {Ann. Statist.},
volume = {17},
number = {1},
year = {1989},
pages = { 1375-1386},
language = {en},
url = {http://dml.mathdoc.fr/item/1176347276}
}
Sen, Pranab Kumar; Kubokawa, Tatsuya; Saleh, A. K. Md. Ehsanes. The Stein Paradox in the Sense of the Pitman Measure of Closeness. Ann. Statist., Tome 17 (1989) no. 1, pp. 1375-1386. http://gdmltest.u-ga.fr/item/1176347276/