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R(, ) = E k(X) k
Rp
k(x) k2
kx k2
exp
2
(2)p/2
dx.
The usual estimator X, with the constant risk p, is minimax for any dimension p. It is also admissible when p = 1 and 2, as shown in [1] and [13],
respectively. [13] showed, however, that when p 3, there exists an estimator dominating X among a class of equivariant estimators relative to the
orthogonal transformation group which have the form
(1.1)
(1.2)
By using the identity (1.2), the risk function of the estimator of the form
g (X) = X + g(X) = (X1 + g1 (X), . . . , Xp + gp (X)) is written as
h
R(, g ) = E kg (X) k2
h
= E kX k2 + E kg(X)k2 + 2
h
= p + E kg(X)k
+2
p
X
i=1
p
X
E (X ) g(X)
i=1
gi (X) ,
xi
where gi (x) is assumed to be differentiable and E|(/xi )gi (X)| < for
p + kg(X)k2 + 2
p
X
i=1
xi
gi (X)
kg(x)k2 + 2
p
X
i=1
xi
gi (x) 0,
for w = kxk2 . The inequality (1.5) is, for example, satisfied if (w) is monotone nondecreasing and within [0, 2(p 2)] for any w 0.
Since (w) = c for 0 < c < 2(p 2) satisfies the inequality (1.5),
(1.6)
(1 c/kXk2 )X
eliminates this drawback and dominates the James-Stein estimator. We notice here that the technique for proving the inadmissibility of JS is not from
the Stein identity or the unbiased estimator of risk given in (1.3). The risk
difference between JS and is given by
#
"
((kXk2 ) p + 2)2
+ 4 (kXk2 ) ,
R(JS , ) R( , ) = E
kXk2
but +
JS (w) = min(w, p 2) which makes the James-Stein positive-part
estimator does not satisfy the inequality
(1.7)
n
X
ai wbi ,
i=1
where ai 0 for any i and 0 < b1 < b2 < < bn . For example when
n = 1, they both showed that, LK (X) for 0 < b1 < 41 (p 2) and
a1 = 2b1 2b1 (p/2 b1 1)/(p/2 2b1 1) is superior to the James-Stein
estimator. [10] gave two estimators which shrink toward the ball with center
i (X) = (1 i (kXk2 )/kXk2 )X for i = 1, 2 where
0, KT
KT
1KT (w)
2KT (w)
0
P
1/2 )i
p 2 p2
i=1 (r/w
w r2
w > r2,
0
w {(p 1)/(p 2)}2 r 2
p 2 r/(w1/2 r) w > {(p 1)/(p 2)}2 r 2 .
They showed that when r is sufficiently small, these two estimators dominate
the James-Stein estimator. However, these estimators are not appealing since
they are inadmissible. In our setting, the estimation of a multivariate normal
mean, [3] showed that any admissible estimator should be generalized Bayes.
Since the shrinkage factor (1 LK (w)/w) becomes negative for some w and
i
iKT for i = 1, 2 fail to be analytic, neither LK nor KT
can be generalized
Bayes or admissible.
In general, when we propose an estimator ( , say) dominating a certain inadmissible estimator, it is extremely important to find it among admissible estimators. If not, a more difficult problem (finding an estimator
improving on ) just occurs. To the best of our knowledge, the sole admissible estimator dominating the James-Stein estimator is [8]s estimator
K (X) = (1 K (kXk2 )/kXk2 )X where
(1.8)
K (w) = p 2 2 R 1
0
exp(w/2)
p/22 exp(w/2)d
The estimator is generalized Bayes with respect to the harmonic prior density kk2p which was originally suggested by [14]. The only fault is, however,
that it does not improve upon JS (X) at kk = 0. (See Section 3 for the
detail.) Shrinkage estimators like (1.1) make use of the vague prior information that kk is close to 0. It goes without saying that we would like
to get the significant improvement of risk when the prior information is
accurate. Though K (X) is an admissible generalized Bayes estimator and
thus smooth, it has no improvement on JS (X) at the origin kk = 0. On
+
(X) improves on JS (X) significantly at the origin, but
the other hand, JS
it is not analytic and is thus inadmissible by [3]s complete class theorem.
Therefore a more challenging open problem is to find admissible estimators
dominating the James-Stein estimator especially at kk = 0. In this paper,
we will consider a class of estimators
(1.9)
(X) =
R1
0
(2.1)
RR
exp(kx k2 /2)(d)
2
Rp exp(kx k /2)(d)
=x+ R
Rp
= x + log
Rp
exp(kx k2 /2)(d)
= x + log m (kxk2 )
where m (kxk2 ) = Rp exp(kxk2 /2)(d). [2] and [5] called an estimator
of the form (2.1) pseudo-Bayes and quasi-Bayes, respectively. If, for given
m, there exists a nonnegative measure which satisfies
R
(2.2)
m(kxk2 ) =
Rp
the estimator of the form (2.1) is truly generalized Bayes. However it is often
difficult to determine whether or not m has such an exact integral form.
m ) = p 4w m (w)
R(
m(w)
(2.3)
2
+ 4p
m (w)
m (w)
+ 8w
m(w)
m(w)
m,k ) = R(
m ) + (m, mk) where
for w = kxk2 and R(
(2.4)
(m, mk) = 4w
m (w)
k(w) + 2pk(w) + 4wk (w) + wk2 (w).
m(w)
If there exists k such that (m, mk) 0 for any w 0 with strict inequality for some w , that implies that m is inadmissible, that is, R(, mk )
R(, m ) for all with strict inequality for some . If there does not exist such k, m is said to be quasi-admissible. Hence quasi-admissibility is a
weaker optimality than admissibility. Now we state a sufficient condition for
quasi-admissibility. The idea is originally from [4], but the paper is not so
accessible. See also [12], where quasi-admissibility is called permissibility.
Theorem 2.1.
Z
p/2
m(w)
dw = as well as
wp/2 m(w)1 dw = .
m,k ) R(
m ), that is, (m, mk)
Proof. We have only to show that R(
p/2
0 implies k(w) 0. Let M (w) = w m(w) and h(w) = M (w)k(w). Then
we have
(m, mk) = 4w
h2 (w)
4wh2 (w)
d
h (w)
+w 2
=
M (w)
M (w)
M (w)
dw
1
h(w)
1
.
4M (w)
First we show that h(w) 0 for all w 0. Suppose to the contrary that
h(w) < 0 for some w0 . Then h(w) < 0 for all w w0 since h (w) should be
negative. For all w > w0 , the inequality
(2.5)
d
dw
1
h(w)
1
4M (w)
h(w ) h(w0 )
4
w0
M 1 (t)dt.
m(kxk ) =
(2.6)
Rp
exp(kx k2 /2)(d).
=2
2f (w, )
(w) (w) (p 2) + R w 1
0 y fp (y, )dy
y 1 fp (y, )dydw,
y
0
w
0
y 1 fp (y)dy,
where fp (y) = fp (y; 0), which can be shown by the correlation inequality,
we have
R(, JS ) R(, )
2
Z
where
0 (w) = p 2 + 2fp (w)/
y 1 fp (y)dy.
Z
y 1 fp (y)dy dw.
where
R1
(3.4)
(p/21) exp(w/2)d
(w) = w R 10
(p/21)1 exp(w/2)d
0
2 exp(w/2)
= p2 R1
0 (p/21)1 exp(w/2)d
2
= p2 R1
.
(p/21)1
exp(w/2)d
0 (1 )
Theorem 3.2.
1. (X) dominates JS (X) for 1.
2. The risk of (X) for > 1 at kk = 0 is strictly less than the risk of
the James-Stein estimator at kk = 0.
3. (X) approaches the positive-part James-Stein estimator when tends
to infinity, that is,
+
lim (X) = JS
(X).
(1 )(p/21)1 exp(w/2)d
X
i=0
i
Y
(p 2 + 2j/)1 = (, w)
(say.)
j=0
10
i
X
w
i=0
p2
Z
(p/21)1 exp
w
d
2
1/
Rp
Z
1/
11
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convex set with a smooth boundary.
J. Multivariate Anal. 75, 1, 79111.
MRMR1787403 (2001h:62034)
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The University of Tokyo
5-1-5 Kashiwanoha, Kashiwa-shi, Chiba 277-8568, Japan
E-mail: maruyama@csis.u-tokyo.ac.jp