A paradox concerning shrinkage estimators: Should a known scale parameter be replaced by an estimated value in the shrinkage factor?

DOI10.1006/JMVA.1996.0056MaRDI QIDQ1126152zbMATH OpenOpenAlexFDO

Authors Dominique Fourdrinier, William E. Strawderman

Publication date 23 February 1997

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

Full work available at URL https://doi.org/10.1006/jmva.1996.0056

zbMATH Keywords

robustnessquadratic lossminimaxitylocation parameterspherically symmetric distribution\(t\)-distributionsknown scale parameterresidual vectorStein-like shrinkage estimators

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)

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Cited in

(18)

• Improved model selection method for a regression function with dependent noise
• Stein estimation -- a review
• Estimation of a loss function for spherically symmetric distribution with constraints on the norm
• The philosophical significance of Stein's paradox
• On the inevitability of a paradox in shrinkage estimation for scale mixtures of normals.
• 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
• Improved robust model selection methods for a Lévy nonparametric regression in continuous time
• Oracle inequalities for the stochastic differential equations
• Improved estimation in a non-Gaussian parametric regression
• A unified and generalized set of shrinkage bounds on minimax Stein estimates
• New Wavelet SURE Thresholds of Elliptical Distributions under the Balance Loss
• Improved estimation method for high dimension semimartingale regression models based on discrete data
• Shrinkage estimation of non-negative mean vector with unknown covariance under balance loss
• Estimation of the mean of a spherically symmetric distribution with constraints on the norm
• On completeness of the general linear model with spherically symmetric errors
• Estimation of a parameter vector when some components are restricted
• Estimation of a parameter vector restricted to a cone

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