An extended class of minimax generalized Bayes estimators of regression coefficients

DOI10.1016/j.jmva.2009.06.001zbMath1176.62003arXiv0803.1276OpenAlexW2054413354MaRDI QIDQ1036778

William E. Strawderman, Yuzo Maruyama

Publication date: 13 November 2009

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

Full work available at URL: https://arxiv.org/abs/0803.1276

zbMATH Keywords

hypergeometric functionminimaxityregressionshrinkage estimatorsunknown variancegeneralized Bayes estimatorsinvariant loss

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15) Minimax procedures in statistical decision theory (62C20)

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