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arXiv · 2609.39614

Improving the James-Stein estimator via finite-sum truncation of its positive-part

Yuzo Maruyama·Akimichi Takemura
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Abstract

For estimating the mean vector of a $p$-variate normal distribution ($p \ge 3$) under quadratic loss, the positive-part James--Stein estimator dominates the original James--Stein estimator, but it possesses a non-smooth thresholding boundary. In this paper, by truncating the infinite series representation of the positive-part function to a finite sum of degree $m$, we propose a new class of smooth shrinkage estimators. We prove that the proposed estimator dominates the James--Stein estimator for any dimension $p \ge 3$, provided the truncation degree satisfies $m \ge 0.95\sqrt{p-2}$.

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Yuzo Maruyama, Akimichi Takemura. 2026-09-30. Improving the James-Stein estimator via finite-sum truncation of its positive-part. https://arxiv.org/abs/2609.39614

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