Robust shrinkage estimators of the location parameter for elliptically symmetric distributions

DOI10.1016/0047-259X(89)90075-4zbMATH Open0678.62061OpenAlexW1968804397MaRDI QIDQ1124248FDOQ1124248

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

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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)

Cites Work

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Cited In (30)

• Preliminary test and Stein-type estimation of location parameter for elliptically contoured distributions
• Relaxing the Gaussian assumption in shrinkage and SURE in high dimension
• Idea of constructing an image of Bayes action
• Estimation under \(\ell_{1}\)-symmetry
• Estimation of noncentrality parameters
• Stein estimation -- a review
• On the inevitability of a paradox in shrinkage estimation for scale mixtures of normals.
• Remarks on univariate elliptical distributions
• Estimation of location parameters for spherically symmetric distributions
• Robust shrinkage estimation for elliptically symmetric distributions with unknown covariance matrix
• Robust minimax Stein estimation under invariant data-based loss for spherically and elliptically symmetric distributions
• Robust improvement in estimation of a mean matrix in an elliptically contoured distribution
• Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution
• Shrinkage estimation of location parameters in a multivariate skew-normal distribution
• Title not available (Why is that?)
• Bayes estimates as expanders in one and two dimensions
• Robust multivariate location estimation, admissibility, and shrinkage phenomenon
• Admissible Bayes equivariant estimation of location vectors for spherically symmetric distributions with unknown scale
• Improved confidence sets of spherically symmetric distributions
• Improved estimators of a location vector with unknown scale parameter
• Improved estimates of location in the presence of an unknown scale
• Quadratic loss estimation when certain components of the location parameter are positive
• On completeness of the general linear model with spherically symmetric errors
• On improved loss estimation for shrinkage estimators
• Robust estimation of common regression coefficients under spherical symmetry
• Shrinkage estimators of the location parameter for certain spherically symmetric distributions
• On the non existence of unbiased estimators of risk for spherically symmetric distributions
• Admissibility results under some balanced loss functions for a functional regression model
• Stein estimation under elliptical distributions
• Title not available (Why is that?)

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