Limits of Risks Ratios of Shrinkage Estimators under the Balanced Loss Function

DOI10.17516/1997-1397-2021-14-3-301-312OpenAlexW3178520159MaRDI QIDQ5071350

Mekki Terbeche, Abdenour Hamdaoui, Abdelkader Benkhaled

Publication date: 21 April 2022

Published in: Journal of Siberian Federal University. Mathematics & Physics (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/jsfu915

zbMATH Keywords

James-Stein estimatorshrinkage estimatorsnon-central chi-square distributionbalanced loss functionmultivariate Gaussian random variable

Mathematics Subject Classification ID

Linear inference, regression (62Jxx) Parametric inference (62Fxx) Statistical decision theory (62Cxx)

Cites Work

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• Estimation of the mean of a multivariate normal distribution
• The optimal extended balanced loss function estimators
• Estimation of a normal mean relative to balanced loss functions
• Shrinkage estimation of non-negative mean vector with unknown covariance under balance loss
• Risk comparison of improved estimators in a linear regression model with multivariate \(t\) errors under balanced loss function
• Asymptotic properties of risks ratios of shrinkage estimators
• Limit expressions for the risk of james‐stein estimators
• Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
• On Minimaxity and Limit of Risks Ratio of James-Stein Estimator Under the Balanced Loss Function

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