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

DOI10.1016/J.JMVA.2021.104794zbMATH Open1476.62107arXiv2102.13083OpenAlexW3195385418MaRDI QIDQ2237809FDOQ2237809

Authors: Lahoucine Hobbad, Éric Marchand, Idir Ouassou 

Publication date: 28 October 2021

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

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 $el{l}^{\prime }$.

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

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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)

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Cited In (8)

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

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