A unified approach to estimating a normal mean matrix in high and low dimensions

DOI10.1016/J.JMVA.2015.04.003zbMath1328.62053OpenAlexW2072046341MaRDI QIDQ2350068

Hisayuki Tsukuma, Tatsuya Kubokawa

Publication date: 18 June 2015

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.04.003

zbMATH Keywords

shrinkage estimatorMoore-Penrose inversestatistical decision theorymatrix meanhigh dimensionempirical Bayes procedureEfron-Morris estimatorinvariant loss

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Point estimation (62F10) Bayesian problems; characterization of Bayes procedures (62C10)

Related Items (11)

Estimation of a high-dimensional covariance matrix with the Stein loss ⋮ James-Stein estimation problem for a multivariate normal random matrix and an improved estimator ⋮ Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution ⋮ Generalized Bayes estimators with closed forms for the normal mean and covariance matrices ⋮ Unified improvements in estimation of a normal covariance matrix in high and low dimensions ⋮ Unnamed Item ⋮ Covariance matrix estimation under data-based loss ⋮ Improved loss estimation for a normal mean matrix ⋮ Truncated Estimators for a Precision Matrix ⋮ Bayes minimax competitors of preliminary test estimators in \(k\) sample problems ⋮ Weighted shrinkage estimators of normal mean matrices and dominance properties

Cites Work

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• On singular Wishart and singular multivariate beta distributions
• Singular Wishart and multivariate beta distributions
• Methods for improvement in estimation of a normal mean matrix
• 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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