The paper develops a class of James-Stein estimators that dominates the sample mean under sequential sampling schemes of Ghosh, Sinha and Mukhopadhyay (1976). Asymptotic risk expansions of the sample mean and James-Stein estimators are provided up to the second-order term. Also, a Monte Carlo study is undertaken to compare the risks of these estimators.
Publié le : 1987-06-14
Classification:
Multivariate,
sequential estimation,
James-Stein estimators,
asymptotic risk expansions,
Monte Carlo,
62J07,
62L12
@article{1176350377,
author = {Ghosh, Malay and Nickerson, David M. and Sen, Pranab K.},
title = {Sequential Shrinkage Estimation},
journal = {Ann. Statist.},
volume = {15},
number = {1},
year = {1987},
pages = { 817-829},
language = {en},
url = {http://dml.mathdoc.fr/item/1176350377}
}
Ghosh, Malay; Nickerson, David M.; Sen, Pranab K. Sequential Shrinkage Estimation. Ann. Statist., Tome 15 (1987) no. 1, pp. 817-829. http://gdmltest.u-ga.fr/item/1176350377/