IMPROVING ON THE JAMES-STEIN ESTIMATOR
Yuzo Maruyama · Statistics & Risk Modeling · 1999
In the estimation of a multivariate normal mean for the case where the unknown covariance matrix is proportional to the identity matrix, a class of generalized Bayes estimators dominating the James-Stein rule is obtained. It is noted that a sequence of estimators in our class converges to the positive-part James-Stein estimator. AMS 2000 subject classifications: Primary 62C10, 62C20; secondary 62A15, 62H12, 62F10, 62F15.