Fourth Edition of the International Conference on Research in Applied Mathematics and Computer Science ICRAMCS 2022
 March 24-25-26, 2022
Online and Face-to-Face Conference

ICRAMCS, 4 (2022) | Proceedings ISSN: 2605-7700

Research Communication | Open Access
Volume 2022 | Communication ID 201
Amelioration of the James-Stein estimator
Abdelkader Benkhaled
Academic Editor: Youssef EL FOUTAYENI
Received
Accepted
Published
January 25, 2022
March 03, 2177
April 15, 2177

Abstract: In this work, we investigate the problem of estimating the mean of a multivariate normal distribution. We use shrinkage estimators includes the James-Stein estimator introduced by James and Stein [1], which are known to dominate the Maximum Likelihood Estimator (MLE) under mean square loss. However we consider a balanced loss function which weights the mean square loss and distance from the MLE. First, we establish the minimaxity property of the James–Stein estimator. Secondly, we deal with shrinkage estimators, different from the one obtained in Hamdaoui [2] and Benkhaled et al [3], which ...