Robust shrinkage estimation for elliptically symmetric distributions with unknown covariance matrix

DOI10.1016/S0047-259X(02)00023-4zbMath1014.62061MaRDI QIDQ1810703

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

Publication date: 9 June 2003

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

zbMATH Keywords

minimaxrobustnesslocation parameterquadratic lossJames-Stein estimationelliptically symmetric distributionsrisk functionsunknown covariance

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Point estimation (62F10) Minimax procedures in statistical decision theory (62C20)

Related Items (22)

Unbiased risk estimates for matrix estimation in the elliptical case ⋮ New Wavelet SURE Thresholds of Elliptical Distributions under the Balance Loss ⋮ Stein estimation for spherically symmetric distributions: recent developments ⋮ On improved loss estimation for shrinkage estimators ⋮ Non-parametric shrinkage mean estimation for quadratic loss functions with unknown covariance matrices ⋮ Invariance properties of the likelihood ratio for covariance matrix estimation in some complex elliptically contoured distributions ⋮ Generalized Bayes sure for multivariate normal distribution under balanced-quadratic loss ⋮ Stokes' theorem, Stein's identity and completeness ⋮ Estimation of the inverse scatter matrix of an elliptically symmetric distribution ⋮ Improved estimation in a non-Gaussian parametric regression ⋮ Shrinkage estimation with a matrix loss function ⋮ Generalized Bayes minimax estimators of location vectors for spherically symmetric distributions with residual vector ⋮ On the non existence of unbiased estimators of risk for spherically symmetric distributions ⋮ Optimal shrinkage estimator for high-dimensional mean vector ⋮ Generalized Bayes minimax estimators of the mean of multivariate normal distribution with unknown variance ⋮ On efficient prediction and predictive density estimation for normal and spherically symmetric models ⋮ Estimation of a location parameter with restrictions or ``vague information for spherically symmetric distributions ⋮ Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\) ⋮ Generalized Bayesian shrinkage and wavelet estimation of location parameter for spherical distribution under balance-type loss: minimaxity and admissibility ⋮ Recent advances in shrinkage-based high-dimensional inference ⋮ Robust minimax Stein estimation under invariant data-based loss for spherically and elliptically symmetric distributions ⋮ The Stein effect for Fréchet means

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stein estimation under elliptical distributions
• A paradox concerning shrinkage estimators: Should a known scale parameter be replaced by an estimated value in the shrinkage factor?
• Minimax estimation of a normal mean vector when the covariance matrix is unknown
• An identity for the Wishart distribution with applications
• Estimation of the mean of a multivariate normal distribution
• Combining independent normal mean estimation problems with unknown variances
• Minimax estimation of a normal mean vector for arbitrary quadratic loss and unknown covariance matrix
• Shrinkage estimators under spherical symmetry for the general linear model
• Minimax estimates of a normal mean vector for arbitrary quadratic loss and unknown covariance matrix

This page was built for publication: Robust shrinkage estimation for elliptically symmetric distributions with unknown covariance matrix