Estimation of the MSE matrix of the stein estimator
Copyright policy )Estimation of the MSE matrix of the stein estimator
Uniformly minimum-variance unbiased (UMVU) estimators of the total risk and the mean-squared-error (MSE) matrix of the Stein estimator for the multivariate normal mean with unknown covariance matrix are proposed. The estimated MSE matrix is helpful in identifying the components which contribute most to the total risk. It also contains information about the performance of the shrinkage estimator with respect to other quadratic loss functions.
- University of Toronto Canada
mean-squared-error, shrinkage estimator, estimated MSE matrix, Estimation in multivariate analysis, multivariate normal mean, Stein estimator, unknown covariance matrix, Uniformly minimum-variance unbiased (UMVU) estimators of the total risk, quadratic loss
mean-squared-error, shrinkage estimator, estimated MSE matrix, Estimation in multivariate analysis, multivariate normal mean, Stein estimator, unknown covariance matrix, Uniformly minimum-variance unbiased (UMVU) estimators of the total risk, quadratic loss
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