Shrinkage estimators, Skorokhod's problem and stochastic integration by parts

DOI10.1214/aos/1032894466zbMath0859.62012OpenAlexW1979454519MaRDI QIDQ1816574

Steven N. Evans, Philip B. Stark

Publication date: 9 April 1997

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1032894466

zbMATH Keywords

meanspherically symmetric distributionsintegration by partslocation parameterquadratic lossstochastic analysisshift modelstopped Brownian motioninadmissibleerror distributions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Admissibility in statistical decision theory (62C15)

Related Items (5)

Small Confidence Sets for the Mean of a Spherically Symmetric Distribution ⋮ Drift estimation with non-Gaussian noise using Malliavin calculus ⋮ Estimation of location parameters for spherically symmetric distributions ⋮ Applied regression analysis bibliography update 1994-97 ⋮ On solutions for global Stein optimization problems with applications

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 parameters for spherically symmetric unimodal distributions under quadratic loss
• Shrinkage estimators under spherical symmetry for the general linear model
• Stein estimation: The spherically symmetric case
• The stopping distributions of a Markov process
• Skorokhod Embedding by Randomized Hitting Times

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