Weighted shrinkage estimators of normal mean matrices and dominance properties

DOI10.1016/J.JMVA.2022.105138MaRDI QIDQ2111070zbMATH OpenOpenAlexFDO

Authors Ryota Yuasa, Tatsuya Kubokawa

Publication date 23 December 2022

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

Full work available at URL https://doi.org/10.1016/j.jmva.2022.105138

zbMATH Keywords

empirical BayesJames-Stein estimatorquadratic lossminimaxityStein's identityEfron-Morris estimator

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12)

Recommendations

• Shrinkage estimation for mean and covariance matrices
• On a shrinkage estimator of a normal common mean vector
• Shrinkage Estimators for Covariance Matrices
• Shrinkage domination of some usual estimators of the common mean of several multivariate normal populations
• Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution
• Weighted covariance matrix estimation
• scientific article; zbMATH DE number 4211293

Cites work

• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
• scientific article; zbMATH DE number 9813 (Why is no real title available?)
• scientific article; zbMATH DE number 3557007 (Why is no real title available?)
• A unified approach to estimating a normal mean matrix in high and low dimensions
• Empirical Bayes on vector observations: An extension of Stein's method
• Estimation of the mean of a multivariate normal distribution
• Estimation with quadratic loss.
• Generalized Bayes minimax estimation of the normal mean matrix with unknown covariance matrix
• Methods for improvement in estimation of a normal mean matrix
• On estimation of a matrix of normal means with unknown covariance matrix
• Shrinkage estimation
• Shrinkage estimation for mean and covariance matrices
• Shrinkage minimax estimation and positive-part rule for a mean matrix in an elliptically contoured distribution

Cited in

(3)

• Methods for improvement in estimation of a normal mean matrix
• Shrinkage estimation with a matrix loss function
• Matrix quadratic risk of orthogonally invariant estimators for a normal mean matrix

This page was built for publication: Weighted shrinkage estimators of normal mean matrices and dominance properties

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2111070)