期刊名称：Sankhya. Series A, mathematical statistics and probability
印刷版ISSN：0976-836X
电子版ISSN：0976-8378
出版年度：2019
卷号：82
期号：2
页码：330-352
DOI：10.1007/s13171-019-00186-z
出版社：Indian Statistical Institute
摘要：Abstract The Stein phenomenon is a path-breaking discovery in mathematical statistics in the last century. A large number of researchers followed Stein’s footsteps and developed a wide variety of minimax shrinkage point estimators of a multivariate normal mean vector, each dominating the sample mean. More recently, the problem resurfaced, but this time with minimax shrinkage predictive density estimation, illustrating once again the Stein phenomenon In this review paper, we discuss parallel developments for normal and Poisson distributions under the Kullback-Leibler and more general divergence losses.
