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James-Stein Estimation

Author(s):
Brandwein, Ann Cohen; Strawderman, William E.
Publication Year:
1989
Report Number:
RR-89-20, PSRTR-89-86
Source:
ETS Research Report
Document Type:
Report
Page Count:
44
Subject/Key Words:
James-Stein Estimation, Maximum Likelihood Statistics, Statistics

Abstract

This paper presents an expository development of James-Stein estimation with substantial emphasis on exact results for non-normal location models. The themes of the paper are a) that the improvement possible over the best invariant estimator via shrinkage estimation is not surprising but expected from a variety of perspectives; (b) that the amount of shrinkage allowable to preserve domination over the best invariant estimator, is, when properly interpreted, relatively free from the assumption of normality; and c) the potential savings in risk are substantial when accompanied by good quality prior information. (44pp.)

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