The bias and risk functions of some Stein-rules in elliptically contoured distributions

DOI10.3103/S1066530713010043zbMath1284.62191MaRDI QIDQ359395

Sévérien Nkurunziza

Publication date: 12 August 2013

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

shrinkage estimatorselliptically contoured distributionsrisk functionbias functionmatrix estimatorpretest estimatorsStein-rules

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Parametric inference under constraints (62F30)

Related Items (2)

The risk of tensor Stein-rules in elliptically contoured distributions ⋮ A class of Stein-rules in multivariate regression model with structural changes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Restricted estimation in multivariate measurement error regression model
• A test for elliptical symmetry
• Estimation of error variance in linear regression models with errors having multivariate Student-\(t\) distribution with unknown degrees of freedom
• Testing for ellipsoidal symmetry: a comparison study
• Some necessary uniform tests for spherical symmetry
• Linear models and generalizations. Least squares and alternatives. With contributions by Michael Schomaker.
• Statistical inference for location and scale of elliptically contoured models with monotone missing data
• The risk of pretest and shrinkage estimators
• Modern Multivariate Statistical Techniques
• A new class of matrix variate elliptically contoured distributions
• JAMES-STEIN RULE ESTIMATORS IN LINEAR REGRESSION MODELS WITH MULTIVARIATE-t DISTRIBUTED ERROR
• Shrinkage strategies in some multiple multi-factor dynamical systems
• A Necessary Power Divergence Type Family Tests of Multivariate Normality
• Robustness of the likelihood ratio test for detection and estimation of a mean change point in a sequence of elliptically contoured observations
• Estimation and decision for linear systems with elliptical random processes

This page was built for publication: The bias and risk functions of some Stein-rules in elliptically contoured distributions