Weighted shrinkage estimators of normal mean matrices and dominance properties

DOI10.1016/J.JMVA.2022.105138OpenAlexW4310291209MaRDI QIDQ2111070

Ryota Yuasa, Tatsuya Kubokawa

Publication date: 23 December 2022

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2022.105138

zbMATH Keywords

empirical BayesJames-Stein estimatorminimaxityquadratic lossStein's identityEfron-Morris estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10)

Cites Work

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• On estimation of a matrix of normal means with unknown covariance matrix
• Shrinkage minimax estimation and positive-part rule for a mean matrix in an elliptically contoured distribution
• Generalized Bayes minimax estimation of the normal mean matrix with unknown covariance matrix
• Estimation of the mean of a multivariate normal distribution
• Shrinkage estimation
• Shrinkage estimation for mean and covariance matrices
• A unified approach to estimating a normal mean matrix in high and low dimensions
• Methods for improvement in estimation of a normal mean matrix
• Empirical Bayes on vector observations: An extension of Stein's method

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