Shrinkage estimators, Skorokhod's problem and stochastic integration by parts

DOI10.1214/aos/1032894466zbMath0859.62012MaRDI QIDQ1816574

Steven N. Evans, Philip B. Stark

Publication date: 9 April 1997

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1032894466

zbMATH Keywords

mean; spherically symmetric distributions; integration by parts; location parameter; quadratic loss; stochastic analysis; shift model; stopped Brownian motion; inadmissible; error distributions

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62F10: Point estimation

62C15: Admissibility in statistical decision theory

Related Items

Small Confidence Sets for the Mean of a Spherically Symmetric Distribution, Drift estimation with non-Gaussian noise using Malliavin calculus, On solutions for global Stein optimization problems with applications, Estimation of location parameters for spherically symmetric distributions, Applied regression analysis bibliography update 1994-97

Cites Work

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