Universal domination and stochastic domination: U-admissibility and U- inadmissibility of the least squares estimator

DOI10.1214/AOS/1176347014MaRDI QIDQ1121606zbMATH OpenOpenAlexFDO

Authors Lawrence Brown, Jiunn Tzon Hwang

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/1176347014

zbMATH Keywords

normal distributionstochastic dominationleast squares estimatorsquared error lossidentity covariance matrixstandard linear modeluniversal dominationJames-Stein positive part estimatorJames-Stein type estimatorsU-admissibleU-inadmissibleuniversal class of lossesuniversally inadmissiblezero mean vector

Mathematics Subject Classification ID

Point estimation (62F10) Ridge regression; shrinkage estimators (Lasso) (62J07) General considerations in statistical decision theory (62C05) Admissibility in statistical decision theory (62C15)

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Cited in

(11)

• Universal domination and stochastic domination -- an improved lower bound for the dimensionality
• Stein estimation -- a review
• Universal admissibility in second order asymptotics
• A note on universal admissibility of scale parameter estimators
• Admissibility and improvement of universal least squares estimators
• Applied regression analysis bibliography update 1988-89
• Improved confidence sets of spherically symmetric distributions
• Larry Brown's work on admissibility
• Comparison of estimators of the location parameter using pitman's closeness criterion
• Universal domination and stochastic domination: Estimation simultaneously under a broad class of loss functions
• Universal inadmissibility of least squares estimator

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