A paradox concerning shrinkage estimators: Should a known scale parameter be replaced by an estimated value in the shrinkage factor?

DOI10.1006/JMVA.1996.0056zbMath0864.62037OpenAlexW2078122099MaRDI QIDQ1126152

Dominique Fourdrinier, William E. Strawderman

Publication date: 23 February 1997

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

Full work available at URL: https://doi.org/10.1006/jmva.1996.0056

zbMATH Keywords

robustnessminimaxitylocation parameterquadratic lossspherically symmetric distribution\(t\)-distributionsknown scale parameterresidual vectorStein-like shrinkage estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Minimax procedures in statistical decision theory (62C20)

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