Estimation of normal means: Frequentist estimation of loss

DOI10.1214/AOS/1176347149MaRDI QIDQ751098zbMATH OpenOpenAlexFDO

Authors D. Kharzeev

Publication date 1989

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

Full work available at URL https://doi.org/10.1214/aos/1176347149

zbMATH Keywords

communication losscommunication riskdata-dependent loss estimatorsestimation of normal meansfrequentist estimation of lossgeneralized Bayes estimatoridentity covariance matrixposterior expected lossposterior variancescoring ruleStein-type estimatorssum of squares error loss

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Admissibility in statistical decision theory (62C15) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited in

(22)

• Admissibility under the frequentist's validity constraint in estimating the loss of the least-squares estimator
• Estimated confidence procedures for multivariate normal means
• Estimated confidence under ancillary statistic everywhere-valid constraint
• Distance weighted losses for testing and confidence set evaluation
• Assessing uncertainty in measurement
• On unbiased and improved loss estimation for the mean of a multivariate normal distribution with unknown variance.
• Improved loss estimation for a normal mean matrix
• On Bayes and unbiased estimators of loss
• On improved loss estimation for shrinkage estimators
• Selection strategy for covariance structure of random effects in linear mixed-effects models
• Comparison of Bayesian and frequentist estimation and prediction for a normal population
• Improved confidence estimators for Fieller's confidence sets
• Robustness of the posterior mean in normal hierarchical models
• A note on loss estimation
• On variance estimation of the ratio estimator under two-phase sampling
• Data based loss estimation of the mean of a spherical distribution with a residual vector
• Inadmissibility of the corrected Akaike information criterion
• Bayesian and minimax estimators of loss
• Estimating risk and the mean squared error matrix in Stein estimation
• On the inadmissibility of unbiased estimators
• An adaptive empirical Bayes estimator of the multivariate normal mean under quadratic loss
• Estimation of regression coefficients of interest when other regression coefficients are of no interest: the case of non-normal errors

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