ERIC Number: ED394999
Record Type: RIE
Publication Date: 1989-Apr
Reference Count: N/A
James-Stein Estimation. Program Statistics Research, Technical Report No. 89-86.
Brandwein, Ann Cohen; Strawderman, William E.
This paper presents an expository development of James-Stein estimation with substantial emphasis on exact results for nonnormal location models. The themes of the paper are: (1) the improvement possible over the best invariant estimator via shrinkage estimation is not surprising but expected from a variety of perspectives; (2) 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 (3) the potential savings in risk are substantial when accompanied by good quality prior information. Relatively, much less emphasis is placed on choosing a particular shrinkage estimator than on demonstrating that shrinkage should produce worthwhile gains in problems where the error distribution is spherically symmetric. In addition, such gains are relatively robust with respect to assumptions concerning distribution and loss. (Contains 1 figure and 53 references.) (Author/SLD)
Publication Type: Reports - Evaluative; Numerical/Quantitative Data
Education Level: N/A
Authoring Institution: Educational Testing Service, Princeton, NJ.
Identifiers: James Stein Estimation; Nonnormal Distributions; Shrinkage