Robust shrinkage estimators of the location parameter for elliptically symmetric distributions

DOI10.1016/0047-259X(89)90075-4zbMath0678.62061OpenAlexW1968804397MaRDI QIDQ1124248

S. H. Smith

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1016/0047-259x(89)90075-4

zbMATH Keywords

linear modelshrinkage estimatorslocation parameterspherically symmetric distributionelliptically symmetric distributionsshrinkage functionJames-Stein estimatorsquadratic loss functionsestimation of a normal mean vectorsufficient conditions for uniform domination of the least squares estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Minimax procedures in statistical decision theory (62C20)

Related Items

Shrinkage estimators of the location parameter for certain spherically symmetric distributions, Improved estimators of a location vector with unknown scale parameter, On improved loss estimation for shrinkage estimators, Admissible Bayes equivariant estimation of location vectors for spherically symmetric distributions with unknown scale, Quadratic loss estimation when certain components of the location parameter are positive, Remarks on univariate elliptical distributions, On the inevitability of a paradox in shrinkage estimation for scale mixtures of normals., Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution, On the non existence of unbiased estimators of risk for spherically symmetric distributions, On completeness of the general linear model with spherically symmetric errors, Improved estimates of location in the presence of an unknown scale, Robust improvement in estimation of a mean matrix in an elliptically contoured distribution, Robust estimation of common regression coefficients under spherical symmetry, Idea of constructing an image of Bayes action, Estimation of location parameters for spherically symmetric distributions, Admissibility results under some balanced loss functions for a functional regression model, Improved confidence sets of spherically symmetric distributions, Stein estimation -- a review, Estimation of noncentrality parameters, Robust minimax Stein estimation under invariant data-based loss for spherically and elliptically symmetric distributions, Relaxing the Gaussian assumption in shrinkage and SURE in high dimension, Bayes estimates as expanders in one and two dimensions

Cites Work

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