Abstract
In this paper, the Bayes estimator and the parametric empirical Bayes estimator (PEBE) of mean vector in multivariate normal distribution are obtained. The superiority of the PEBE over the minimum variance unbiased estimator (MVUE) and a revised James-Stein estimators (RJSE) are investigated respectively under mean square error (MSE) criterion. Extensive simulations are conducted to show that performance of the PEBE is optimal among these three estimators under the MSE criterion.
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Yuan, M., Wan, C. & Wei, L. Superiority of empirical Bayes estimator of the mean vector in multivariate normal distribution. Sci. China Math. 59, 1175–1186 (2016). https://doi.org/10.1007/s11425-015-5098-x
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DOI: https://doi.org/10.1007/s11425-015-5098-x