Linear shrinkage estimation of high-dimensional means

DOI10.1080/03610926.2021.1994610MaRDI QIDQ6169356zbMATH OpenOpenAlexFDO

Authors Yuki Ikeda, Ryumei Nakada, Tatsuya Kubokawa, Muni S. Srivastava

Publication date 11 July 2023

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

Full work available at URL https://doi.org/10.1080/03610926.2021.1994610

zbMATH Keywords

high dimensionmean vectornon-normal distributionquadratic loss functionrisk functionshrinkageStein estimator

Mathematics Subject Classification ID

Statistics (62-XX) Information and communication theory, circuits (94-XX)

Cites work

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• Optimal shrinkage estimator for high-dimensional mean vector
• Properties of shrinkage estimators in linear regression when disturbances are not normal
• Shrinkage ridge estimators in semiparametric regression models
• Some thoughts on empirical Bayes estimation
• Tests for high-dimensional covariance matrices

Cited in

(4)

• Relaxing the Gaussian assumption in shrinkage and SURE in high dimension
• Shrinkage and LASSO strategies in high-dimensional heteroscedastic models
• Linear shrinkage estimation of the variance of a distribution with unknown mean
• scientific article; zbMATH DE number 7168259 (Why is no real title available?)

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