ADMISSIBLE ESTIMATION OF A MULTIVARIATE NORMAL MEAN

Authors

  • BARRY C. ARNOLD

Keywords:

Loss function, complexity, Bayesian, unbiased, invariant.

Abstract

The James-Stein (1961) estimate of a multivariate normal mean has spawned a
spectrum of related admissibility and inadmissibility results. Nevertheless it has
not had much impact at the grass-roots level of applied statistics and continues to
be almost totally ignored (after almost a half century) in introductory textbooks.
Possible reasons for its low prole are discussed.

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Issue

Vol. 44 No. 1 (2010)

Section

Articles