A sharp boundary for SURE-based admissibility for the normal means problem under unknown scale

DOI10.1016/J.JMVA.2017.09.002zbMATH Open1377.62034arXiv1609.03241OpenAlexW2964221469MaRDI QIDQ1679569FDOQ1679569

Authors: Yuzo Maruyama, William E. Strawderman 

Publication date: 9 November 2017

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

Abstract: We consider quasi-admissibility/inadmissibility of Stein-type shrinkage estimators of the mean of a multivariate normal distribution with covariance matrix an unknown multiple of the identity. Quasi-admissibility/inadmissibility is defined in terms of non-existence/existence of a solution to a differential inequality based on Stein's unbiased risk estimate (SURE). We find a sharp boundary between quasi-admissible and quasi-inadmissible estimators related to the optimal James-Stein estimator. We also find a class of priors related to the Strawderman class in the known variance case where the boundary between quasi-admissibility and quasi-inadmissibility corresponds to the boundary between admissibility and inadmissibility in the known variance case. Additionally, we also briefly consider generalization to the case of general spherically symmetric distributions with a residual vector.

Full work available at URL: https://arxiv.org/abs/1609.03241

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zbMATH Keywords

admissibilityStein's unbiased risk estimategeneralized Bayes

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Admissibility in statistical decision theory (62C15)

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Cited In (2)

• On admissible estimation of a mean vector when the scale is unknown
• Admissible Bayes equivariant estimation of location vectors for spherically symmetric distributions with unknown scale

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