A note on classical Stein-type estimators in elliptically contoured models

Abstract: In this paper the conditions under which a broad class of Stein-type estimators dominates the best invariant unbiased estimator of the mean of an elliptically contoured population have been established. The superiority conditions are derived for both known and unknown scale structures. Also an example is given when the general scale matrix is assumed to be known in linear regression. [Copyright &y& Elsevier]