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

DOI10.1016/J.JMVA.2017.09.002MaRDI QIDQ1679569zbMATH OpenOpenAlexFDO

Authors Yuzo Maruyama, William E. Strawderman

Publication date 9 November 2017

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

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

zbMATH Keywords

admissibilityStein's unbiased risk estimategeneralized Bayes

Mathematics Subject Classification ID

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

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.

Recommendations

• Admissible estimators of a multivariate normal mean vector when the scale is unknown
• Stein's idea and minimax admissible estimation of a multivariate normal mean
• Une condition nécessaire d'admissibilité et ses conséquences sur les estimateurs à rétrécisseur de la moyenne d'un vecteur normal
• Estimation with quadratic loss.
• Publication:3212116

Cites work

• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
• scientific article; zbMATH DE number 4211293 (Why is no real title available?)
• scientific article; zbMATH DE number 4169843 (Why is no real title available?)
• scientific article; zbMATH DE number 4012931 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A new class of generalized Bayes minimax ridge regression estimators
• Admissibility of Estimators of the Mean Vector of a Multivariate Normal Distribution with Quadratic Loss
• Admissibility: Survey of a Concept in Progress
• Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems
• Admissible minimax estimators of a mean vector of scale mixtures of multivariate normal distributions
• An extended class of minimax generalized Bayes estimators of regression coefficients
• Bayes minimax estimation of the multivariate normal mean vector for the case of common unknown variance
• Estimation of the mean of a multivariate normal distribution
• Estimators for Gaussian models having a block-wise structure
• Families of minimax estimators of the mean of a multivariate normal distribution
• On the non existence of unbiased estimators of risk for spherically symmetric distributions
• Proper Bayes Minimax Estimators of the Multivariate Normal Mean
• Proper Bayes minimax estimators of the multivariate normal mean vector for the case of common unknown variances
• Robust improvement in estimation of a mean matrix in an elliptically contoured distribution

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

This page was built for publication: A sharp boundary for SURE-based admissibility for the normal means problem under unknown scale

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1679569)