Minimax estimation of the mean of spherically symmetric distributions under general quadratic loss

DOI10.1016/0047-259X(79)90059-9zbMath0432.62033MaRDI QIDQ1138864

Ann Cohen Brandwein

Publication date: 1979

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

zbMATH Keywords

maximum likelihood estimatorsrobust estimatorsminimax estimationgeneral quadratic losssample meansbest invariant estimatorsmean of spherically symmetric distributions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Related Items

Improved estimators of a location vector with unknown scale parameter ⋮ Small Confidence Sets for the Mean of a Spherically Symmetric Distribution ⋮ Stein estimation under elliptical distributions ⋮ Robust shrinkage estimators of the location parameter for elliptically symmetric distributions ⋮ Drift estimation with non-Gaussian noise using Malliavin calculus ⋮ A unified and generalized set of shrinkage bounds on minimax Stein estimates ⋮ Admissibility and minimaxity of generalized Bayes estimators for spherically symmetric family ⋮ Estimation of location parameters for spherically symmetric distributions ⋮ Quadratic forms in spherical random variables: Generalized noncentral x2 distribution ⋮ Stein estimation for non-normal spherically symmetric location families in three dimensions ⋮ Shrinkage estimators, Skorokhod's problem and stochastic integration by parts ⋮ Stein estimation -- a review ⋮ Properties of shrinkage estimators in linear regression when disturbances are not normal ⋮ On improved shrinkage estimators for concave loss ⋮ On solutions for global Stein optimization problems with applications ⋮ Minimax estimators that shift towards a hypersphere for location vectors of spherically symmetric distributions ⋮ Bayes estimates as expanders in one and two dimensions

Cites Work

• Minimax estimation of location parameters for spherically symmetric distributions with concave loss
• Minimax estimators of the mean of a multivariate normal distribution
• Admissible minimax estimation of a multivariate normal mean with arbitrary quadratic loss
• Minimax estimation of location vectors for a wide class of densities
• Robust m-estimators of multivariate location and scatter
• Minimax estimation of location parameters for spherically symmetric unimodal distributions under quadratic loss
• Minimax estimation of location parameters for certain spherically symmetric distributions
• A family of admissible minimax estimators of the mean of a multivariate normal distribution
• Invariance, Minimax Sequential Estimation, and Continuous Time Processes
• Data Analysis Using Stein's Estimator and its Generalizations
• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
• Estimating the Mean of a Multivariate Normal Population with General Quadratic Loss Function
• Proper Bayes Minimax Estimators of the Multivariate Normal Mean
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item