JSM 2004 - Toronto

Abstract #301949

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Activity Number: 379
Type: Contributed
Date/Time: Wednesday, August 11, 2004 : 2:00 PM to 3:50 PM
Sponsor: IMS
Abstract - #301949
Title: Modifications of Stein's Effect in Shape-restricted Inference
Author(s): Anna Amirdjanova*+ and Michael Woodroofe
Companies: University of Michigan and University of Michigan
Address: 439 West Hall, 550 E. University, Ann Arbor, MI, 48109-1092,
Keywords: Stein's identity ; inadmissible estimate ; shape-restricted inference
Abstract:

We construct a wide class of shrinkage estimators for a multivariate normal mean when the latter is known to belong to a convex polyhedral cone. It is shown that shrinking the maximum likelihood estimator towards suggested modifications reduces the mean squared error. As an illustration, the case of isotonic regression is considered and corresponding class of target estimators is investigated.

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