Modifying estimators of ordered positive parameters under the Stein loss

DOI10.1016/J.JMVA.2010.08.011MaRDI QIDQ608336zbMATH OpenOpenAlexFDO

Authors Hisayuki Tsukuma, Tatsuya Kubokawa

Publication date 25 November 2010

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2010.08.011

zbMATH Keywords

decision theoryisotonic regressionrestricted maximum likelihood estimatorminimaxitysimultaneous estimationKullback-Leibler lossumbrella orderingscale parameterFenchel's duality theoremorder-statistics-based estimatorsimple orderingtree orderingweighted Stein loss

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Analysis of variance and covariance (ANOVA) (62J10) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20) Parametric inference under constraints (62F30)

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Cites work

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• Minimax estimation of normal precisions via expansion estimators
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• The variational form of certain Bayes estimators
• Uniform priors on convex sets improve risk
• Universal domination and stochastic domination: Estimation simultaneously under a broad class of loss functions

Cited in

(3)

• Minimax estimation of a normal covariance matrix with the partial Iwasawa decomposition
• Minimaxity in estimation of restricted and non-restricted scale parameter matrices
• Stein's phenomenon in estimation of means restricted to a polyhedral convex cone

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