On shrinkage estimation of a spherically symmetric distribution for balanced loss functions

DOI10.1016/j.jmva.2021.104794zbMath1476.62107arXiv2102.13083OpenAlexW3195385418MaRDI QIDQ2237809

Éric Marchand, Idir Ouassou, Lahoucine Hobbad

Publication date: 28 October 2021

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

Full work available at URL: https://arxiv.org/abs/2102.13083

zbMATH Keywords

shrinkage estimationdominancespherically symmetric distributionconcave lossbalanced lossKotz distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Point estimation (62F10) Minimax procedures in statistical decision theory (62C20)

Cites Work

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