On solutions for global Stein optimization problems with applications

DOI10.1016/S0378-3758(01)00233-6zbMath0988.62004MaRDI QIDQ1600732

Stefan S. Ralescu

Publication date: 16 June 2002

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

global optimizationspherical symmetryminimaxityStein estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Point estimation (62F10) Minimax procedures in statistical decision theory (62C20) Applications of optimal control and differential games (49N90)

Related Items (1)

A Bayes minimax result for spherically symmetric unimodal distributions

Cites Work

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• Minimax estimation of the mean of spherically symmetric distributions under general quadratic loss
• 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
• Stein estimation for non-normal spherically symmetric location families in three dimensions
• Shrinkage estimators of the location parameter for certain spherically symmetric distributions
• Stein estimation: The spherically symmetric case
• On the construction of Bayes minimax estimators
• Shrinkage estimators, Skorokhod's problem and stochastic integration by parts
• Invariance, Minimax Sequential Estimation, and Continuous Time Processes

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