Shrinkage estimators, Skorokhod's problem and stochastic integration by parts

• 成果类型: Article
• 署名作者: Evans, SN; Stark, PB
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 1996
• 页码: 809-815
• 关键词: spherical-symmetry; Minimax Estimation; QUADRATIC LOSS; distributions

摘要

For a broad class of error distributions that includes the spherically symmetric ones, we give a short proof that the usual estimator of the mean in a cl-dimensional shift model is inadmissible under quadratic loss when d greater than or equal to 3. Our proof involves representing the error distribution as that of a stopped Brownian motion and using elementary stochastic analysis to obtain a generalization of an integration by parts lemma due to Stein in the Gaussian case.