Abstract
Abstract We consider the James–Stein problem for non-normal data for estimating a p-vector θ . It is shown how the risk may be expanded in powers of p -1 . The factor 1-2/p that distinguishes the James–Stein estimate from the Stein estimate is shown to have only O(p -2) effect on the risk. The case, where the variance must be estimated is studied for the one-way unbalanced ANOVA problem.
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