Shrinkage domination in a multivariate common mean problem

DOI10.1214/AOS/1176348130zbMath0725.62051OpenAlexW2026332756MaRDI QIDQ2277713

Edward I. George

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1214/aos/1176348130

zbMATH Keywords

robustnesssquared error lossriskStein estimatorscommon mean problemindependent multivariate normal vectorsshrinkage domination

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical decision theory (62C99)

Related Items (7)

Comparison of Five Tests for the Common Mean of Several Multivariate Normal Populations ⋮ Shrinkage domination of some usual estimators of the common mean of several multivariate normal populations ⋮ Admissibility of linear estimators of the common mean parameter in general linear models under a balanced loss function ⋮ Confidence regions for the common mean vector of several multivariate normal populations ⋮ On a shrinkage estimator of a normal common mean vector ⋮ Bootstrap confidence bands for shrinkage estimators ⋮ Unbiased equivariant estimation of a common normal mean vector with one observation from each population

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