Shrinkage estimation with a matrix loss function

DOI10.1214/12-EJS748zbMath1295.62070arXiv1101.3412OpenAlexW2963672597MaRDI QIDQ1950903

Reman Abu-Shanab, John T. Kent, William E. Strawderman

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.3412

zbMATH Keywords

James-Stein estimatorriskStein's lemmamatrix quadratic loss function

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical decision theory (62C99)

Related Items (2)

On asymptotic Borovkov–Sakhanenko inequality with unbounded parameter set ⋮ Generalized Bayes estimators with closed forms for the normal mean and covariance matrices

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