Contracting towards subspaces when estimating the mean of a multivariate normal distribution

DOI10.1016/0047-259X(82)90020-3zbMath0493.62050OpenAlexW2068613867MaRDI QIDQ1168670

Samuel D. Oman

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1016/0047-259x(82)90020-3

zbMATH Keywords

ridge regressionquadratic losspatterned covariance matriceseigenvalues of covariance matricescontracting towards subspacesestimating mean of multivariate normal distributionnecessary and sufficient conditions for minimaxitypreliminary testingStein estimate

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Minimax procedures in statistical decision theory (62C20)

Related Items (2)

Efficient shrinkage in parametric models ⋮ A Regression Modeling Approach to Structured Shrinkage Estimation

Cites Work

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• Application of Pre-Test and Stein Estimators to Economic Data
• Multicollinearity and the Minimax Conditions of the Bock Stein-like Estimator
• The Statistical Consequences of Preliminary Test Estimators in Regression
• Improved Estimators for Coefficients in Linear Regression
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution
• Inequalities for general matrix functions

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