The heat equation and Stein's identity: connections, applications

DOI10.1016/j.jspi.2005.12.001zbMath1088.62004OpenAlexW2002425538MaRDI QIDQ2369511

William E. Strawderman, Anirban DasGupta, L. R. Haff, Lawrence D. Brown

Publication date: 22 May 2006

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2005.12.001

zbMATH Keywords

heat equationgraph theoryinadmissibilitymatching polynomialBayes riskharmonicStein's identityunbiased

Mathematics Subject Classification ID

Bayesian inference (62F15) Foundations and philosophical topics in statistics (62A01) Heat equation (35K05) Characterization and structure theory of statistical distributions (62E10)

Related Items (16)

ENTROPY FLOW AND DE BRUIJN'S IDENTITY FOR A CLASS OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION ⋮ The Stein phenomenon for monotone incomplete multivariate normal data ⋮ On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality ⋮ Stein’s Lemma for generalized skew-elliptical random vectors ⋮ A note on Stein's lemma for multivariate elliptical distributions ⋮ On generalized moment identity and its applications: a unified approach ⋮ Larry Brown's contributions to parametric inference, decision theory and foundations: a survey ⋮ Larry Brown's work on admissibility ⋮ A DE BRUIJN'S IDENTITY FOR DEPENDENT RANDOM VARIABLES BASED ON COPULA THEORY ⋮ On rereading Stein's lemma: its intrinsic connection with Cramér-Rao identity and some new identities ⋮ A Stein type lemma for the multivariate generalized hyperbolic distribution ⋮ Improved minimax predictive densities under Kullback-Leibler loss ⋮ On Stein's identity and its applications ⋮ Relations Between Information and Estimation in the Presence of Feedback ⋮ Some Stein-type inequalities for multivariate elliptical distributions and applications ⋮ Moment identity for discrete random variable and its applications

Cites Work

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• Information inequalities for the Bayes risk
• Asymptotic methods in statistical decision theory
• Estimation of the mean of a multivariate normal distribution
• An introduction to matching polynomials
• Shrinkage estimators under spherical symmetry for the general linear model
• Stein estimation: The spherically symmetric case
• Closed form summation for classical distributions: variations on a theme of de Moivre
• On the theory of the matching polynomial
• Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems

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