Estimation of the mean vector in a singular multivariate normal distribution

DOI10.1016/j.jmva.2015.05.016zbMath1327.62055OpenAlexW2117644373MaRDI QIDQ495383

Hisayuki Tsukuma, Tatsuya Kubokawa

Publication date: 10 September 2015

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.05.016

zbMATH Keywords

shrinkage estimatorminimaxityMoore-Penrose inverseinadmissibilitygeneralized Bayes estimatorquadratic lossstatistical decision theoryempirical Bayes methodpseudo-Wishart distribution

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20)

Related Items

Improved second order estimation in the singular multivariate normal model ⋮ The Jacobians of matrix transformation about singular random matrices and its applications ⋮ Generalized Bayes sure for multivariate normal distribution under balanced-quadratic loss ⋮ Unnamed Item ⋮ Generalized Bayesian shrinkage and wavelet estimation of location parameter for spherical distribution under balance-type loss: minimaxity and admissibility ⋮ On shrinkage estimators improving the positive part of James-Stein estimator ⋮ Wavelet Shrinkage Generalized Bayes Estimation for Multivariate Normal Distribution Mean Vectors with unknown Covariance Matrix under Balanced-LINEX Loss

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The density of the inverse and pseudo-inverse of a random matrix
• Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\)
• Generalized Bayes minimax estimators of the mean of multivariate normal distribution with unknown variance
• Wishart and pseudo-Wishart distributions and some applications to shape theory
• Singular Wishart and multivariate beta distributions
• Generalized Bayes minimax estimators of the multivariate normal mean with unknown covariance matrix
• A new class of generalized Bayes minimax ridge regression estimators
• Integral Inequality for Minimaxity in the Stein Problem
• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
• Multivariate Theory for Analyzing High Dimensional Data
• Empirical Bayes on vector observations: An extension of Stein's method

This page was built for publication: Estimation of the mean vector in a singular multivariate normal distribution