Stein estimation under elliptical distributions

DOI10.1016/0047-259X(89)90108-5zbMath0667.62039MaRDI QIDQ1117641

S. H. Smith

Publication date: 1989

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

robustnessriskspherical distributionsmean vectorStein estimatorsUnbiased estimatessubclass of elliptical distributions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items

A Note on the Comparison of the Stein Estimator and the James-Stein Estimator ⋮ Estimation of parameters of parallelism model with elliptically distributed errors ⋮ Improved preliminary test and Stein-rule Liu estimators for the ill-conditioned elliptical linear regression model ⋮ Simple regression in view of elliptical models ⋮ Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution ⋮ Preliminary test and Stein estimations in simultaneous linear equations ⋮ Highest predictive density estimator in regression models ⋮ Robust improvement in estimation of a mean matrix in an elliptically contoured distribution ⋮ Improving on the mle of a bounded location parameter for spherical distributions ⋮ A note on classical Stein-type estimators in elliptically contoured models ⋮ Dominating estimators for minimum-variance portfolios ⋮ Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\) ⋮ Robust shrinkage estimation for elliptically symmetric distributions with unknown covariance matrix ⋮ Shrinkage Estimation Under Multivariate Elliptic Models ⋮ Regression model with elliptically contoured errors ⋮ Relaxing the Gaussian assumption in shrinkage and SURE in high dimension ⋮ A note on Stein-type shrinkage estimator in partial linear models

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