Component risk in multiparameter estimation

zbMath0609.62080MaRDI QIDQ1086944

Amitava Mitra, Khursheed Alam

Publication date: 1986

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

James-Stein estimatorriskmaximum likelihood estimatorsquadratic lossmultivariate normal distributioncomponent riskmultiparameter estimationStein's estimatorsStein's rule

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Admissibility in statistical decision theory (62C15)

Cites Work

• Limiting the Risk of Bayes and Empirical Bayes Estimators--Part II: The Empirical Bayes Case
• Application of the Method of Mixtures to Quadratic Forms in Normal Variates
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