Stein estimation under elliptical distributions

DOI10.1016/0047-259X(89)90108-5zbMath0667.62039MaRDI QIDQ1117641

S. H. Smith

Publication date: 1989

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

zbMATH Keywords

robustness; risk; spherical distributions; mean vector; Stein estimators; Unbiased estimates; subclass of elliptical distributions

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J05: Linear regression; mixed models

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Robust improvement in estimation of a mean matrix in an elliptically contoured distribution, Simple regression in view of elliptical models, Preliminary test and Stein estimations in simultaneous linear equations, Dominating estimators for minimum-variance portfolios, Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\), Highest predictive density estimator in regression models, Improving on the mle of a bounded location parameter for spherical distributions, Robust shrinkage estimation for elliptically symmetric distributions with unknown covariance matrix, Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution, A note on classical Stein-type estimators in elliptically contoured models, Improved preliminary test and Stein-rule Liu estimators for the ill-conditioned elliptical linear regression model, Estimation of parameters of parallelism model with elliptically distributed errors, Shrinkage Estimation Under Multivariate Elliptic Models, Regression model with elliptically contoured errors, A note on Stein-type shrinkage estimator in partial linear models, A Note on the Comparison of the Stein Estimator and the James-Stein Estimator

Cites Work

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