THE OPTIMALITY OF THE SHRINKEN ESTIMATORS

WANG Yongxiao. THE OPTIMALITY OF THE SHRINKEN ESTIMATORS[J]. Chinese Journal of Applied Probability and Statistics, 1986, 2(1): 42-51.

Citation:

WANG Yongxiao. THE OPTIMALITY OF THE SHRINKEN ESTIMATORS[J]. Chinese Journal of Applied Probability and Statistics, 1986, 2(1): 42-51.

Citation:

WANG Yongxiao. THE OPTIMALITY OF THE SHRINKEN ESTIMATORS[J]. Chinese Journal of Applied Probability and Statistics, 1986, 2(1): 42-51.

Abstract

In this paper,we discuss the optimality of the shrinken estimators of the mean of multivariate normal distribution and of the parameters in linear model.A necessary condition of a minimax estimator is obtained and on approach to get an uniformly optimal estimator is given.The results are also applied to some known shrinken estimators in linear model.

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