A sharp boundary for SURE-based admissibility for the Normal means problem under unknown scale

Abstract: We consider quasi-admissibility/inadmissibility of Stein-type shrinkage estimators of the mean of a multivariate normal distribution with covariance matrix an unknown multiple of the identity. Quasi-admissibility/inadmissibility is defined in terms of non-existence/existence of a solution to a differential inequality based on Stein's unbiased risk estimate (SURE). We find a sharp boundary between quasi-admissible and quasi-inadmissible estimators related to the optimal James-Stein estimator. We also find a class of priors related to the Strawderman class in the known variance case where the boundary between quasi-admissibility and quasi-inadmissibility corresponds to the boundary between admissibility and inadmissibility in the known variance case. Additionally, we also briefly consider generalization to the case of general spherically symmetric distributions with a residual vector.