Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

Estimation of the Mean of a Multivariate Normal Distribution

Charles M. Stein
The Annals of Statistics
Vol. 9, No. 6 (Nov., 1981), pp. 1135-1151
Stable URL: http://www.jstor.org/stable/2240405
Page Count: 17
  • Read Online (Free)
  • Download ($19.00)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Estimation of the Mean of a Multivariate Normal Distribution
Preview not available

Abstract

Estimation of the means of independent normal random variables is considered, using sum of squared errors as loss. An unbiased estimate of risk is obtained for an arbitrary estimate, and certain special classes of estimates are then discussed. The results are applied to smoothing by use of moving averages and to trimmed analogs of the James-Stein estimate. A suggestion is made for calculating approximate confidence sets for the mean vector centered at an arbitrary estimate.

Page Thumbnails

  • Thumbnail: Page 
1135
    1135
  • Thumbnail: Page 
1136
    1136
  • Thumbnail: Page 
1137
    1137
  • Thumbnail: Page 
1138
    1138
  • Thumbnail: Page 
1139
    1139
  • Thumbnail: Page 
1140
    1140
  • Thumbnail: Page 
1141
    1141
  • Thumbnail: Page 
1142
    1142
  • Thumbnail: Page 
1143
    1143
  • Thumbnail: Page 
1144
    1144
  • Thumbnail: Page 
1145
    1145
  • Thumbnail: Page 
1146
    1146
  • Thumbnail: Page 
1147
    1147
  • Thumbnail: Page 
1148
    1148
  • Thumbnail: Page 
1149
    1149
  • Thumbnail: Page 
1150
    1150
  • Thumbnail: Page 
1151
    1151