A class of multiple shrinkage estimators

DOI10.1007/BF00116474zbMath0761.62072MaRDI QIDQ1207621

Christopher S. Withers

Publication date: 1 April 1993

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

zbMATH Keywords

lossJames-Stein estimatorapproximationsadaptive estimatornormal distributioncoefficient of variationindependent componentsmean squares errorunknown covarianceLindley's estimatorshrinkage estimates

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (1)

Asymptotically optimal shrinkage estimates for non-normal data

Cites Work

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• Minimax multiple shrinkage estimation
• Limit expressions for the risk of james‐stein estimators
• Combining Minimax Shrinkage Estimators
• On sharper bounds for the risk of james-stein estimators
• An explicit formula for the risk of James-Stein estimators
• A formal bayes multiple shrinkage estimator
• Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution

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