Shrinkage estimation with a matrix loss function

DOI10.1214/12-EJS748zbMath1295.62070arXiv1101.3412MaRDI QIDQ1950903

Reman Abu-Shanab, John T. Kent, William E. Strawderman

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.3412

zbMATH Keywords

James-Stein estimator; risk; Stein's lemma; matrix quadratic loss function

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

62C99: Statistical decision theory

Related Items

Generalized Bayes estimators with closed forms for the normal mean and covariance matrices, On asymptotic Borovkov–Sakhanenko inequality with unbounded parameter set

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