James-Stein estimation problem for a multivariate normal random matrix and an improved estimator

DOI10.1016/J.LAA.2017.06.032zbMath1373.62256OpenAlexW2732179281MaRDI QIDQ2401292

Liangyuan Liu, Xiaoqian Liu, Jian-Hua Hu

Publication date: 8 September 2017

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2017.06.032

zbMATH Keywords

James-Stein estimatorshrinkage estimatorminimaxityadmissibilitymultivariate linear modelJames-Stein estimation problemlost function

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Admissibility in statistical decision theory (62C15)

Related Items (1)

The Stein effect for Fréchet means

Cites Work

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