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An extension of the method of maximum likelihood and the Stein's problem

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Summary

An extension of the method of maximum likelihood leads to a natural solution of the problem raised by Stein, the inadmissibility of the ordinary maximum likelihood estimator for the mean of a multivariate normal distribution.

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Authors
  1. Hirotugu Akaike
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Akaike, H. An extension of the method of maximum likelihood and the Stein's problem. Ann Inst Stat Math 29, 153–164 (1977). https://doi.org/10.1007/BF02532781

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  • DOI: https://doi.org/10.1007/BF02532781

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