Robust minimax Stein estimation under invariant data-based loss for spherically and elliptically symmetric distributions

DOI10.1007/s00184-014-0512-xzbMath1333.62151OpenAlexW2039717960MaRDI QIDQ2342936

William E. Strawderman, Dominique Fourdrinier

Publication date: 29 April 2015

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-014-0512-x

zbMATH Keywords

minimaxityspherically symmetric distributionslocation parameterelliptically symmetric distributionsdata-based lossesStein type identityStein-Haff type identity

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Point estimation (62F10) Minimax procedures in statistical decision theory (62C20) Statistical decision theory (62C99)

Related Items (7)

New Wavelet SURE Thresholds of Elliptical Distributions under the Balance Loss ⋮ Data based loss estimation of the mean of a spherical distribution with a residual vector ⋮ Generalized Bayes sure for multivariate normal distribution under balanced-quadratic loss ⋮ Bayesian wavelet Stein's unbiased risk estimation of multivariate normal distribution under reflected normal loss ⋮ Covariance matrix estimation under data-based loss ⋮ Generalized Bayesian shrinkage and wavelet estimation of location parameter for spherical distribution under balance-type loss: minimaxity and admissibility ⋮ Wavelet Shrinkage Generalized Bayes Estimation for Multivariate Normal Distribution Mean Vectors with unknown Covariance Matrix under Balanced-LINEX Loss

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