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A property of Stein's estimator for the mean of a multivariate normal distribution
Authors:V Susarla
Institution:*Department of Mathematics, University of Wisconsin-Milwaukee, U.S.A.
Abstract:A uniform bound on the risk (under squared error loss) of Stein's estimator Ψ1 for the mean of the multivariate normal distribution is given. Using the bound, the asymptotic behaviour of the risk of Ψ1 under a Bayesian assumption is obtained.
Keywords:
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