Abstract
The paper develops a class of James-Stein estimators that dominates the sample mean under sequential sampling schemes of Ghosh, Sinha and Mukhopadhyay (1976). Asymptotic risk expansions of the sample mean and James-Stein estimators are provided up to the second-order term. Also, a Monte Carlo study is undertaken to compare the risks of these estimators.
Citation
Malay Ghosh. David M. Nickerson. Pranab K. Sen. "Sequential Shrinkage Estimation." Ann. Statist. 15 (2) 817 - 829, June, 1987. https://doi.org/10.1214/aos/1176350377
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