# 2006 年 02 月 18 日作成
# dimention of complex normal distribution
p=4
# number of repitation of simulation
repp=10000
risk0=rep(0,repp)
risk1=rep(0,repp)
# value of mean vector 
rm=0
vm=rep(0,p)
vm[1]=vm[1]+rm
for (k in 1:repp){
z<-complex(real=rnorm(p,0,1),imag=rnorm(p,0,1))
z[1]=z[1]+rm
le=sum(z*Conj(z))
cjm<-(1-(p-1)/le)*z
risk0[k]=sum((z-vm)*(Conj(z-vm)))
risk1[k]=sum((cjm-vm)*(Conj(cjm-vm)))
}
# risk of mle
mean(risk0)
$ risk of complex james-stein estimators
mean(risk1)