Arbeitspapier
Weak versus strong dominance of shrinkage estimators
We consider the estimation of the mean of a multivariate normal distribution with known variance. Most studies consider the risk of competing estimators, that is the trace of the mean squared error matrix. In contrast we consider the whole mean squared error matrix, in particular its eigenvalues. We prove that there are only two distinct eigenvalues and apply our findings to the James--Stein and the Thompson class of estimators. It turns out that the famous Stein paradox is no longer a paradox when we consider the whole mean squared error matrix rather than only its trace.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. TI 2021-007/III
- Klassifikation
-
Wirtschaft
Estimation: General
Model Construction and Estimation
- Thema
-
Shrinkage
Dominance
James-Stein
- Ereignis
-
Geistige Schöpfung
- (wer)
-
De Luca, Giuseppe
Magnus, Jan R.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- De Luca, Giuseppe
- Magnus, Jan R.
- Tinbergen Institute
Entstanden
- 2021
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