On shrinkage estimators improving the James-Stein estimator under balanced loss function
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Published:2021-09-03
Issue:
Volume:
Page:711-727
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ISSN:2220-5810
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Container-title:Pakistan Journal of Statistics and Operation Research
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language:
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Short-container-title:Pak.j.stat.oper.res.
Author:
Hamdaoui AbdenourORCID,
Terbeche MekkiORCID,
Benkhaled AbdelkaderORCID
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.
Publisher
Pakistan Journal of Statistics and Operation Research
Subject
Management Science and Operations Research,Statistics, Probability and Uncertainty,Modelling and Simulation,Statistics and Probability