Shrinkage estimators, Skorokhod's problem and stochastic integration by parts

DOI10.1214/AOS/1032894466MaRDI QIDQ1816574zbMATH OpenOpenAlexFDO

Authors Steven Neil Evans, Philip B. Stark

Publication date 9 April 1997

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

Full work available at URL https://doi.org/10.1214/aos/1032894466

zbMATH Keywords

error distributionsinadmissibleintegration by partslocation parametermeanquadratic lossshift modelspherically symmetric distributionsstochastic analysisstopped Brownian motion

Mathematics Subject Classification ID

Admissibility in statistical decision theory (62C15) Point estimation (62F10) Estimation in multivariate analysis (62H12)

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Cites work

• Estimation of the mean of a multivariate normal distribution
• Estimation with quadratic loss.
• Generalizations of James-Stein estimators under spherical symmetry
• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
• scientific article; zbMATH DE number 3473087 (Why is no real title available?)
• scientific article; zbMATH DE number 719919 (Why is no real title available?)
• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• Minimax estimation of location parameters for spherically symmetric unimodal distributions under quadratic loss
• Minimax estimation of the mean of spherically symmetric distributions under general quadratic loss
• Shrinkage estimators under spherical symmetry for the general linear model
• Skorokhod Embedding by Randomized Hitting Times
• Stein estimation: The spherically symmetric case
• The stopping distributions of a Markov process

Cited in

(5)

• On solutions for global Stein optimization problems with applications
• Estimation of location parameters for spherically symmetric distributions
• Applied regression analysis bibliography update 1994-97
• Small Confidence Sets for the Mean of a Spherically Symmetric Distribution
• Drift estimation with non-Gaussian noise using Malliavin calculus

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