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The main objective of this paper is to estimate the mean of a multivariate normal distribution using shrinkage strategies under appropriate conditions of the covariance matrix. First of all, we establish an improvement of the positive part of James-Stein estimator (PPJSE) over the James-Stein estimator (JSE) under the balanced loss function (BLF). Then, we develop new class of shrinkage estimators based on the PPJSE, and we show that these estimators outperform the PPJSE in relation to the BLF. A simulated data then used to demonstrate the effectiveness of this shrinkage method.

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Study the Performance of New Shrinkage Estimators Under the Balanced Loss Function

  • 章节

  • 发表日期：

    2026年

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  • Abdenour Hamdaoui,
  • Abdelkader Benkhaled,
  • Amani Alahmadi

摘要

The main objective of this paper is to estimate the mean of a multivariate normal distribution using shrinkage strategies under appropriate conditions of the covariance matrix. First of all, we establish an improvement of the positive part of James-Stein estimator (PPJSE) over the James-Stein estimator (JSE) under the balanced loss function (BLF). Then, we develop new class of shrinkage estimators based on the PPJSE, and we show that these estimators outperform the PPJSE in relation to the BLF. A simulated data then used to demonstrate the effectiveness of this shrinkage method.