Admissible Bayes equivariant estimation of location vectors for spherically symmetric distributions with unknown scale

DOI10.1214/19-AOS1837MaRDI QIDQ2196207zbMATH OpenFDO

Authors Yuzo Maruyama, William E. Strawderman

Publication date 28 August 2020

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

Full work available at URL https://arxiv.org/abs/1710.02794, https://projecteuclid.org/euclid.aos/1590480045

zbMATH Keywords

admissibilitygeneralized BayesBayes equivarianceStein's phenomenon

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07) Minimax procedures in statistical decision theory (62C20) Admissibility in statistical decision theory (62C15)

Abstract: This paper investigates estimation of the mean vector under invariant quadratic loss for a spherically symmetric location family with a residual vector with density of the form $f(x,u)=et{a}^{(p+n)/2}f(eta|x-heta{|}^2+|u{|}^2)$, where $eta$ is unknown. We show that the natural estimator $x$ is admissible for $p=1,2$. Also, for $pgeq3$, we find classes of generalized Bayes estimators that are admissible within the class of equivariant estimators of the form $1-xi(x/|u|)x$. In the Gaussian case, a variant of the James--Stein estimator, $[1-(p-2)/(n+2)/|x{|}^2/|u{|}^2+(p-2)/(n+2)+1]x$, which dominates the natural estimator $x$, is also admissible within this class. We also study the related regression model.

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Cited in

(14)

• On admissible estimation of a mean vector when the scale is unknown
• Bayesian shrinkage estimation for stratified count data
• A robust generalized Bayes estimator improving on the James-Stein estimator for spherically symmetric distributions
• Admissibility and minimaxity of generalized Bayes estimators for spherically symmetric family
• A class of minimax generalized Bayes estimators and an extended correlation inequality
• Data based loss estimation of the mean of a spherical distribution with a residual vector
• Bayesian estimation for spherically symmetric distributions
• Inadmissibility of the usual estimator for the location parameters of spherically symmetric distributions
• On discrete priors and sparse minimax optimal predictive densities
• An admissibility proof using an adaptive sequence of smoother proper priors approaching the target improper prior
• On global-local shrinkage priors for count data
• Bayesian predictive density estimation for a chi-squared model using information from a normal observation with unknown mean and variance
• Generalized Bayes minimax estimators of location vectors for spherically symmetric distribu\-tions
• Estimation in spherically symmetric regression with random design

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