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- Title
On shrinkage estimators improving the James-Stein estimator under balanced loss function.
- Authors
Hamdaoui, Abdenour; Terbeche, Mekki; Benkhaled, Abdelkader
- Abstract
In this paper, we are interested in estimating a multivariate normal mean under the balanced loss function using the shrinkage estimators deduced from the Maximum Likelihood Estimator (MLE). First, we consider a class of estimators containing the James-Stein estimator, we then show that any estimator of this class dominates the MLE, consequently it is minimax. Secondly, we deal with shrinkage estimators which are not only minimax but also dominate the James- Stein estimator.
- Subjects
MAXIMUM likelihood statistics; CHI-square distribution; BAYES' estimation
- Publication
Pakistan Journal of Statistics & Operation Research, 2021, Vol 17, Issue 3, p711
- ISSN
1816-2711
- Publication type
Article
- DOI
10.18187/pjsor.v17i3.3663