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Lectures on multivariate estimation theory
Zapiski Nauchnykh Seminarov POMI, Studies in the statistical estimation theory. Part I, Tome 74 (1977), pp. 4-65
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The first three lectures deal with estimation of the mean of multidimensional normal distribution with respect to quadratic loss function. The James–Stein estimate is introduced and some relations between this and Bayes approach are discussed. Then problems of estimating the normal соvariance matrix and the entropy of multinomial distribution are studied. At last some related topics are discussed and several unsolved problems are proposed. 
@article{ZNSL_1977_74_a0,
     author = {{\CYRS}. Stein},
     title = {Lectures on multivariate estimation theory},
     journal = {Zapiski Nauchnykh Seminarov POMI},
     pages = {4--65},
     year = {1977},
     volume = {74},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_1977_74_a0/}
}
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С. Stein. Lectures on multivariate estimation theory. Zapiski Nauchnykh Seminarov POMI, Studies in the statistical estimation theory. Part I, Tome 74 (1977), pp. 4-65. http://geodesic.mathdoc.fr/item/ZNSL_1977_74_a0/