On some shrinkage estimators of multivariate location (Q1058238): Difference between revisions
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Latest revision as of 22:41, 19 March 2024
scientific article
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English | On some shrinkage estimators of multivariate location |
scientific article |
Statements
On some shrinkage estimators of multivariate location (English)
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1985
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Let \(F_{\theta}\) be a p (\(\geq 1)\) variate continuous distribution function (d.f.) defined on the Euclidean space \(E^ p\). The d.f. \(F_{\theta}\) is assumed to be diagonally symmetric about its location \(\theta =(\theta_ 1,...,\theta_ p)^ T\). In a shrinkage estimation problem, one has, a priori, some reason to believe that \(\theta\) is likely to lie in a small region containing a specified point \(\theta_ 0\) (which may be assumed to be zero without loss of generality). Using a preliminary test for the hypothesis \(\theta =0\), a variant form of the James-Stein type estimation rule is used to formulate some shrinkage estimators of location based on rank statistics and U- statistics. A smaller critical value for the preliminary test has been recommended. In an asymptotic set up, the relative risks for these shrinkage estimators are shown to be smaller than their classical counterparts.
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diagonally symmetric multivariate distribution
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local alternatives
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robustness
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asymptotic risk
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preliminary test
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James-Stein type estimation rule
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shrinkage estimators of location
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rank statistics
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U- statistics
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critical value
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relative risks
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