Paper 1, Section II, J

Principles of Statistics | Part II, 2015

Consider a normally distributed random vector X∈RpX \in \mathbb{R}^{p} modelled as X∼N(θ,Ip)X \sim N\left(\theta, I_{p}\right) where θ∈Rp,Ip\theta \in \mathbb{R}^{p}, I_{p} is the p×pp \times p identity matrix, and where p⩾3p \geqslant 3. Define the Stein estimator θ^STEIN\hat{\theta}_{S T E I N} of θ\theta.

Prove that θ^STEIN\hat{\theta}_{S T E I N} dominates the estimator θ~=X\tilde{\theta}=X for the risk function induced by quadratic loss

ℓ(a,θ)=∑i=1p(ai−θi)2,a∈Rp\ell(a, \theta)=\sum_{i=1}^{p}\left(a_{i}-\theta_{i}\right)^{2}, \quad a \in \mathbb{R}^{p}

Show however that the worst case risks coincide, that is, show that

sup⁡θ∈RpEθℓ(X,θ)=sup⁡θ∈RpEθℓ(θ^STEIN,θ)\sup _{\theta \in \mathbb{R}^{p}} E_{\theta} \ell(X, \theta)=\sup _{\theta \in \mathbb{R}^{p}} E_{\theta} \ell\left(\hat{\theta}_{S T E I N}, \theta\right)

[You may use Stein's lemma without proof, provided it is clearly stated.]

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