6533b82cfe1ef96bd128ec65

RESEARCH PRODUCT

Weak versus strong dominance of shrinkage estimators

Jan R. MagnusJan R. MagnusGiuseppe De Luca

subject

Economics and EconometricsClass (set theory)Trace (linear algebra)James–SteinEconomics Econometrics and Finance (miscellaneous)James–Stein estimatorContrast (statistics)EstimatorSettore SECS-P/05 - EconometriaMultivariate normal distributionJames-SteinVariance (accounting)DevelopmentC51Dominance (ethology)C13Applied mathematicsBusiness and International ManagementShrinkageEigenvalues and eigenvectorsDominanceMathematics

description

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.

yearjournalcountryeditionlanguage
2021-12-01
http://hdl.handle.net/10447/514408