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

DOI10.1214/19-AOS1837zbMATH Open1453.62284arXiv1710.02794MaRDI QIDQ2196207FDOQ2196207

William E. Strawderman, Yuzo Maruyama

Publication date: 28 August 2020

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

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.

Full work available at URL: https://arxiv.org/abs/1710.02794

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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)

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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
• Estimation in spherically symmetric regression with random design
• Generalized Bayes minimax estimators of location vectors for spherically symmetric distribu\-tions

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