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

DOI10.1007/s00184-014-0512-xzbMath1333.62151MaRDI 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

minimaxity; spherically symmetric distributions; location parameter; elliptically symmetric distributions; data-based losses; Stein type identity; Stein-Haff type identity

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

62F10: Point estimation

62C20: Minimax procedures in statistical decision theory

62C99: Statistical decision theory

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