Improved estimation of the mean vector for student-t model

DOI10.1080/03610920008832499MaRDI QIDQ4541706zbMATH OpenOpenAlexFDO

Authors Shahjahan Khan

Publication date 28 July 2002

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920008832499

zbMATH Keywords

biasdominanceinverted gamma distributionsJames-Stein estimatorslikelihood ratio testsmaximum likelihood estimatorsmultivariate normalquadratic riskrelative efficiencyStudent t distributionuncertain prior information

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Ridge regression; shrinkage estimators (Lasso) (62J07)

Recommendations

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Cites work

• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
• Characterizations of an Empirical Influence Function for Detecting Influential Cases in Regression
• Estimation of error variance in linear regression models with errors having multivariate Student-\(t\) distribution with unknown degrees of freedom
• Estimation of the mean of a multivariate normal distribution
• scientific article; zbMATH DE number 3899977 (Why is no real title available?)
• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• JAMES-STEIN RULE ESTIMATORS IN LINEAR REGRESSION MODELS WITH MULTIVARIATE-t DISTRIBUTED ERROR
• Orthant probabilities for the equicorrelated multivariate normal distribution
• The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances

Cited in

(7)

• Testing equality of two intercepts for the parallel regression model with non sample prior information
• Comparison of estimators of means based on p-samples from multivariate student-t population
• scientific article; zbMATH DE number 1525195 (Why is no real title available?)
• scientific article; zbMATH DE number 804211 (Why is no real title available?)
• The bivariate noncentral chi-square distribution -- a compound distribution approach
• Preliminary test and Stein estimations in simultaneous linear equations
• Comparisons of improved risk estimators of the multivariate mean vector

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