On the construction of Bayes minimax estimators

DOI10.1214/aos/1028144853zbMath0929.62004OpenAlexW2088632131MaRDI QIDQ1807097

Dominique Fourdrinier, William E. Strawderman, Martin T. Wells

Publication date: 9 November 1999

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1028144853

zbMATH Keywords

superharmonic functionsquadratic lossmultivariate normal meanproper Bayes

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20) Admissibility in statistical decision theory (62C15)

Related Items

Posterior propriety of an objective prior for generalized hierarchical normal linear models, Admissible minimax estimators of a mean vector of scale mixtures of multivariate normal distributions, On Bayes and unbiased estimators of loss, SHRINKAGE EFFICIENCY BOUNDS, Stein estimation for spherically symmetric distributions: recent developments, From minimax shrinkage estimation to minimax shrinkage prediction, Pitman closeness properties of Bayes shrinkage procedures in estimation and prediction, Posterior propriety and admissibiity of hyperpriors in normal hierarchical models, A Bayes minimax result for spherically symmetric unimodal distributions, A review of Brown 1971 (in)admissibility results under scale mixtures of Gaussian priors, On predictive density estimation for location families under integrated squared error loss, Good, great, or lucky? Screening for firms with sustained superior performance using heavy-tailed priors, Hierarchical Bayes, maximum a posteriori estimators, and minimax concave penalized likelihood estimation, Stein's idea and minimax admissible estimation of a multivariate normal mean, Generalized Bayes minimax estimators of location vectors for spherically symmetric distributions with residual vector, Stein estimation for the drift of Gaussian processes using the Malliavin calculus, Generalized Bayes minimax estimators of the mean of multivariate normal distribution with unknown variance, Admissibility and minimaxity of generalized Bayes estimators for spherically symmetric family, Bayes minimax estimators of the mean of a scale mixture of multivariate normal distributions, Generalized Bayes minimax estimators of location vectors for spherically symmetric distribu\-tions, Improved minimax predictive densities under Kullback-Leibler loss, On estimation with balanced loss functions, Stein estimation -- a review, Estimation of a non-centrality parameter under Stein-type-like losses, On solutions for global Stein optimization problems with applications

Cites Work

• Statistical decision theory and Bayesian analysis. 2nd ed
• Minimax multiple shrinkage estimation
• Estimation of the mean of a multivariate normal distribution
• Minimax Bayes estimators of a multivariate normal mean
• Coherent inference from improper priors and from finitely additive priors
• A family of admissible minimax estimators of the mean of a multivariate normal distribution
• Subjective hierarchical Bayes estimation of a multivariate normal mean: On the frequentist interface
• Posterior expectations for large observations
• Combining Minimax Shrinkage Estimators
• Proper Bayes Minimax Estimators of the Multivariate Normal Mean
• Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems
• Robust hierarchical Bayes estimation of exchangeable means
• What is the Laplace Transform?
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item