Risk Analysis and Robustness of four Shrinkage Estimators

In this paper we first investigate the risk properties of four shrinkage estimators of a location vector assuming that the random vector follows a multivariate normal distribution. Next we study the risk performance of these four estimators under a multivariate 1 distribution with n(⩾ 3) degrees of freedom. It bas been found that under both the models the four shrinkage estimators preserve almost the same relative merits and demerits.

AMS 1991 Subject Classifications : Primary 62C15, Secondary 62H12.