On shrinkage estimation of a spherically symmetric distribution for balanced loss functions

DOI10.1016/J.JMVA.2021.104794zbMATH Open1476.62107OpenAlexW3195385418MaRDI QIDQ2237809FDOQ2237809

Authors Lahoucine Hobbad, Éric Marchand, Idir Ouassou

Publication date 28 October 2021

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

Full work available at URL https://arxiv.org/abs/2102.13083

zbMATH Keywords

dominanceshrinkage estimationspherically symmetric distributionconcave lossbalanced lossKotz distribution

Mathematics Subject Classification ID

Point estimation (62F10) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Minimax procedures in statistical decision theory (62C20)

Abstract: We consider the problem of estimating the mean vector $heta$ of a $d$-dimensional spherically symmetric distributed $X$ based on balanced loss functions of the forms: {�f (i)} $omegaho(|de-d{e}_0{|}^2)+(1-omega)ho(|de-heta{|}^2)$ and {�f (ii)} $ellleft(omega|de-d{e}_0{|}^2+(1-omega)|de-heta{|}^{2}ight)$, where $delt{a}_0$ is a target estimator, and where $ho$ and $ell$ are increasing and concave functions. For $dgeq4$ and the target estimator $delt{a}_0(X)=X$, we provide Baranchik-type estimators that dominate $delt{a}_0(X)=X$ and are minimax. The findings represent extensions of those of Marchand & Strawderman (cite{ms2020}) in two directions: {�f (a)} from scale mixture of normals to the spherical class of distributions with Lebesgue densities and {�f (b)} from completely monotone to concave $h{o}^{\prime }$ and $el{l}^{\prime }$.

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Cited in

(8)

• Shrinkage estimation of non-negative mean vector with unknown covariance under balance loss
• Shrinkage positive rule estimators for spherically symmetric distributions
• Generalized Bayesian shrinkage and wavelet estimation of location parameter for spherical distribution under balance-type loss: minimaxity and admissibility
• Robust minimax Stein estimation under invariant data-based loss for spherically and elliptically symmetric distributions
• Loss estimation for spherically symmetric distributions
• Shrinkage estimators under spherical symmetry for the general linear model
• On shrinkage estimation for balanced loss functions
• On improved shrinkage estimators for concave loss

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