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arXiv · 2306.04232

Non-minimaxity of debiased shrinkage estimators

Yuzo Maruyama·Akimichi Takemura
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Abstract

We consider the estimation of the $p$-variate normal mean of $X\sim N_p(\theta,I)$ under the quadratic loss function. We investigate the decision theoretic properties of debiased shrinkage estimator, the estimator which shrinks towards the origin for smaller $\|x\|^2$ and which is exactly equal to the unbiased estimator $X$ for larger $\|x\|^2$. Such debiased shrinkage estimator seems superior to the unbiased estimator $X$, which implies minimaxity. However we show that it is not minimax under mild conditions.

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Yuzo Maruyama, Akimichi Takemura. 2023-06-07. Non-minimaxity of debiased shrinkage estimators. https://arxiv.org/abs/2306.04232

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