Component risk in multiparameter estimation

MaRDI QIDQ1086944zbMATH OpenFDO

Authors Amitava Mitra, Khursheed Alam

Publication date 1986

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

component riskJames-Stein estimatormaximum likelihood estimatorsmultiparameter estimationmultivariate normal distributionquadratic lossriskStein's estimatorsStein's rule

Mathematics Subject Classification ID

Admissibility in statistical decision theory (62C15) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Review text

Um das Komponentenrisiko der James-Stein Schätzer zu reduzieren, werden andere Modifikationen als jene von \textit{B. Efron} und \textit{C. Morris} [J. Am. Stat. Assoc. 67, 130-139 (1972; Zbl 0231.62013)] vorgeschlagen, die bessere Eigenschaften in bezug auf das maximale Komponentenrisiko aufweisen. Die Resultate werden numerisch untermauert.

Recommendations

• scientific article; zbMATH DE number 3992615
• Improvements over the james-stein estimator: A risk analysis
• On sharper bounds for the risk of james-stein estimators
• Improving on the James-Stein positive-part estimator
• On two-stage james-stein sstimators

Cites work

• Application of the Method of Mixtures to Quadratic Forms in Normal Variates
• Estimation with quadratic loss.
• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
• scientific article; zbMATH DE number 3826980 (Why is no real title available?)
• Limiting the Risk of Bayes and Empirical Bayes Estimators--Part II: The Empirical Bayes Case

Cited in

(6)

• Multivariate risks and depth-trimmed regions
• The risk inflation criterion for multiple regression
• On sharper bounds for the risk of james-stein estimators
• scientific article; zbMATH DE number 3992615 (Why is no real title available?)
• Excess risk estimation under multistage model misspecification
• Partitioning methods for multifactorial risk attribution

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