Abstract
We consider quasi-admissibility/inadmissibility of Stein-type shrinkage estimators of the mean of a multivariate normal distribution with covariance matrix an unknown multiple of the identity. Quasi-admissibility/inadmissibility is defined in terms of non-existence/existence of a solution to a differential inequality based on Stein’s unbiased risk estimate (SURE). We find a sharp boundary between quasi-admissible and quasi-inadmissible estimators related to the optimal James–Stein estimator. We also find a class of priors related to the Strawderman class in the known variance case where the boundary between quasi-admissibility and quasi-inadmissibility corresponds to the boundary between admissibility and inadmissibility in the known variance case. Additionally, we also briefly consider generalization to the case of general spherically symmetric distributions with a residual vector.
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