Baranchick-type Estimators of a Multivariate Normal Mean Under the General Quadratic Loss Function

DOI10.17516/1997-1397-2020-13-5-608-621OpenAlexW3096379120MaRDI QIDQ5859257

Abdenour Hamdaoui, Mekki Terbeche, Abdelkader Benkhaled

Publication date: 16 April 2021

Published in: Journal of Siberian Federal University. Mathematics & Physics (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/jsfu867

zbMATH Keywords

James-Stein estimatorcovariance matrixloss functionshrinkage estimatornon-central chi-square distributionmultivariate Gaussian random variable

Mathematics Subject Classification ID

Multivariate analysis (62Hxx) Statistical decision theory (62Cxx)

Related Items (2)

A study of minimax shrinkage estimators dominating the James-Stein estimator under the balanced loss function ⋮ On shrinkage estimators improving the positive part of James-Stein estimator

Cites Work

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• Optimal shrinkage estimation of mean parameters in family of distributions with quadratic variance
• Estimation of the mean of a multivariate normal distribution
• Minimax estimators of the mean of a multivariate normal distribution
• The optimal extended balanced loss function estimators
• Minimax estimation of location parameters for certain spherically symmetric distributions
• Asymptotic properties of risks ratios of shrinkage estimators
• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
• More on the restricted ridge regression estimation

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