l_p-norm based James-Stein estimation with minimaxity and sparsity (1402.0302v2)

Abstract: A new class of minimax Stein-type shrinkage estimators of a multivariate normal mean is studied where the shrinkage factor is based on an l_p norm. The proposed estimators allow some but not all coordinates to be estimated by 0 thereby allow sparsity as well as minimaxity.