Shrinkage minimax estimation and positive-part rule for a mean matrix in an elliptically contoured distribution
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Publication:844874
DOI10.1016/j.spl.2009.10.009zbMath1180.62084MaRDI QIDQ844874
Publication date: 5 February 2010
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2009.10.009
62H12: Estimation in multivariate analysis
62J07: Ridge regression; shrinkage estimators (Lasso)
62J05: Linear regression; mixed models
62C20: Minimax procedures in statistical decision theory
Related Items
The distribution of the Liu-type estimator of the biasing parameter in elliptically contoured models, Weighted shrinkage estimators of normal mean matrices and dominance properties, Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution, A unified approach to estimating a normal mean matrix in high and low dimensions
Cites Work
- On estimation of a matrix of normal means with unknown covariance matrix
- On singular Wishart and singular multivariate beta distributions
- A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
- Empirical Bayes on vector observations: An extension of Stein's method
- Robust improvement in estimation of a mean matrix in an elliptically contoured distribution
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