Contracting towards subspaces when estimating the mean of a multivariate normal distribution

DOI10.1016/0047-259X(82)90020-3MaRDI QIDQ1168670zbMATH OpenOpenAlexFDO

Authors Samuel D. Oman

Publication date 1982

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

Full work available at URL https://doi.org/10.1016/0047-259x(82)90020-3

zbMATH Keywords

contracting towards subspaceseigenvalues of covariance matricesestimating mean of multivariate normal distributionnecessary and sufficient conditions for minimaxitypatterned covariance matricespreliminary testingquadratic lossridge regressionStein estimate

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites work

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Cited in

(2)

• A Regression Modeling Approach to Structured Shrinkage Estimation
• Efficient shrinkage in parametric models

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