Robust shrinkage estimators of the location parameter for elliptically symmetric distributions

DOI10.1016/0047-259X(89)90075-4MaRDI QIDQ1124248zbMATH OpenOpenAlexFDO

Authors 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

elliptically symmetric distributionsestimation of a normal mean vectorJames-Stein estimatorslinear modellocation parameterquadratic loss functionsshrinkage estimatorsshrinkage functionspherically symmetric distributionsufficient conditions for uniform domination of the least squares estimator

Mathematics Subject Classification ID

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

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Cited in

(32)

• Stein estimation under elliptical distributions
• Improved estimates of location in the presence of an unknown scale
• Robust estimation of common regression coefficients under spherical symmetry
• Shrinkage estimators of the location parameter for certain spherically symmetric distributions
• On the inevitability of a paradox in shrinkage estimation for scale mixtures of normals.
• Stein estimation -- a review
• On completeness of the general linear model with spherically symmetric errors
• Robust shrinkage estimation for elliptically symmetric distributions with unknown covariance matrix
• Improved confidence sets of spherically symmetric distributions
• Estimation under \(\ell_{1}\)-symmetry
• Bayes estimates as expanders in one and two dimensions
• Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution
• Relaxing the Gaussian assumption in shrinkage and SURE in high dimension
• Admissible Bayes equivariant estimation of location vectors for spherically symmetric distributions with unknown scale
• Admissibility results under some balanced loss functions for a functional regression model
• Robust minimax Stein estimation under invariant data-based loss for spherically and elliptically symmetric distributions
• On the non existence of unbiased estimators of risk for spherically symmetric distributions
• Estimation of location parameters for spherically symmetric distributions
• On improved loss estimation for shrinkage estimators
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• Shrinkage estimation of location parameters in a multivariate skew-normal distribution
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• Idea of constructing an image of Bayes action
• Robust multivariate location estimation, admissibility, and shrinkage phenomenon
• Robust improvement in estimation of a mean matrix in an elliptically contoured distribution
• Quadratic loss estimation when certain components of the location parameter are positive
• Shrinkage estimators of the location parameter under modified balanced loss functions
• Remarks on univariate elliptical distributions

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