Journal of the American Statistical Association volume 81, issue 394, P437-445 1986 DOI: 10.1080/01621459.1986.10478288 View full text
Edward I. George

Abstract: When one estimates a multivariate normal mean, the use of Stein estimation entails both the grouping of coordinates and the selection of a set of targets toward which to shrink each group. In this article we propose new minimax multiple shrinkage estimators that allow for multiple specifications of these aspects. We provide examples that are evaluated on real and simulated data, including an estimator that adaptively resolves the issue of combining possibly related estimation problems and an adaptive clusteri…

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