l_p-norm based James-Stein estimation with minimaxity and sparsity

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.

11 pages, A new section for unknown scale case is added and a minor revision is done