On shrinkage estimation for balanced loss functions

DOI10.1016/J.JMVA.2019.104558MaRDI QIDQ2293387zbMATH OpenOpenAlexWikidataFDO

Authors Éric Marchand, William E. Strawderman

Publication date 5 February 2020

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

Full work available at URL https://arxiv.org/abs/1904.03171

zbMATH Keywords

multivariate normaldominancescale mixture of normalsconcave lossbalanced lossshrink-age estimation

Mathematics Subject Classification ID

Point estimation (62F10) Ridge regression; shrinkage estimators (Lasso) (62J07) Minimax procedures in statistical decision theory (62C20) Admissibility in statistical decision theory (62C15)

Abstract: The estimation of a multivariate mean $heta$ is considered under natural modifications of balanced loss function of the form: (i) $omega,ho(|delta-delt{a}_0{|}^2)+(1-omega),ho(|delta-heta{|}^2)$, and (ii) $ellleft(omega,|delta-delt{a}_0{|}^2+(1-omega),|delta-heta{|}^{2}ight),$, where $delt{a}_0$ is a target estimator of $gamma(heta)$. After briefly reviewing known results for original balanced loss with identity $ho$ or $ell$, we provide, for increasing and concave $ho$ and $ell$ which also satisfy a completely monotone property, Baranchik-type estimators of $heta$ which dominate the benchmark $delt{a}_0(X)=X$ for $X$ either distributed as multivariate normal or as a scale mixture of normals. Implications are given with respect to model robustness and simultaneous dominance with respect to either $ho$ or $ell

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Cites work

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Cited in

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• Multivariate estimation of Poisson parameters
• A study of minimax shrinkage estimators dominating the James-Stein estimator under the balanced loss function
• Wavelet Shrinkage Generalized Bayes Estimation for Multivariate Normal Distribution Mean Vectors with unknown Covariance Matrix under Balanced-LINEX Loss
• The optimal extended balanced loss function estimators
• The Efficiency of Shrinkage Estimators with Respect to Zellner's Balanced Loss Function
• Shrinkage estimation of non-negative mean vector with unknown covariance under balance loss
• Generalized Bayesian shrinkage and wavelet estimation of location parameter for spherical distribution under balance-type loss: minimaxity and admissibility
• On estimation with balanced loss functions
• On improved loss estimation for shrinkage estimators
• On estimation with weighted balanced-type loss function
• Estimation for the Multiple Regression Setup Using Balanced Loss Function
• On shrinkage estimation of a spherically symmetric distribution for balanced loss functions

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