On shrinkage estimation for balanced loss functions

DOI10.1016/J.JMVA.2019.104558zbMATH Open1454.62088arXiv1904.03171OpenAlexW2979974221WikidataQ127086609 ScholiaQ127086609MaRDI QIDQ2293387FDOQ2293387

Authors: Éric Marchand, William E. Strawderman 

Publication date: 5 February 2020

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

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

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

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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)

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Cited In (17)

• Minimax shrinkage estimators and estimators dominating the James-Stein estimator under the balanced loss function
• On the non-stochastic ordering of some quadratic forms
• Bayesian shrinkage estimator of Burr XII distribution
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• Multivariate estimation of Poisson parameters
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