Shrinkage estimators of the location parameter for certain spherically symmetric distributions

DOI10.1007/BF00773355zbMath0811.62058MaRDI QIDQ1335359

Ann Cohen Brandwein, William E. Strawderman, Stefan S. Ralescu

Publication date: 1 November 1994

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

zbMATH Keywords

James-Stein estimatorspherically symmetric distributionsshrinkage estimatorsgeneral quadratic lossconcave functions of quadratic lossBrandwein-Strawderman estimatorimproving bounds

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Related Items (13)

Stein estimation for spherically symmetric distributions: recent developments ⋮ Tensor Stein-rules in a generalized tensor regression model ⋮ On predictive density estimation for location families under integrated squared error loss ⋮ Stokes' theorem, Stein's identity and completeness ⋮ Quadratic loss estimation when certain components of the location parameter are positive ⋮ On efficient prediction and predictive density estimation for normal and spherically symmetric models ⋮ Admissibility results under some balanced loss functions for a functional regression model ⋮ On shrinkage estimation for balanced loss functions ⋮ Stein estimation -- a review ⋮ On improved shrinkage estimators for concave loss ⋮ Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes ⋮ On solutions for global Stein optimization problems with applications ⋮ Estimation under \(\ell_{1}\)-symmetry

Cites Work

• Minimax estimation of means of multivariate normal mixtures
• Minimax estimators that shift towards a hypersphere for location vectors of spherically symmetric distributions
• Simultaneous estimation of location parameters of the distribution with finite support
• Robust shrinkage estimators of the location parameter for elliptically symmetric distributions
• Estimation of the mean of a multivariate normal distribution
• Generalizations of James-Stein estimators under spherical symmetry
• Minimax estimation of location vectors for a wide class of densities
• Minimax estimation of location parameters for spherically symmetric unimodal distributions under quadratic loss
• Stein estimation for non-normal spherically symmetric location families in three dimensions

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