On the non existence of unbiased estimators of risk for spherically symmetric distributions

DOI10.1016/J.SPL.2014.03.022MaRDI QIDQ2453986zbMATH OpenOpenAlexFDO

Authors Dominique Fourdrinier, William E. Strawderman

Publication date 12 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2014.03.022

zbMATH Keywords

data-based lossesinvariant losseslocation parametersStein type identity

Mathematics Subject Classification ID

Statistical decision theory (62C99) Point estimation (62F10) Estimation in multivariate analysis (62H12)

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Cites work

• A unified and generalized set of shrinkage bounds on minimax Stein estimates
• Bayes minimax estimation under power priors of location parameters for a wide class of spherically symmetric distributions
• Estimation of the mean of a multivariate normal distribution
• Estimation robuste pour des lois à symétrie elliptique à matrice de covariance inconnue
• scientific article; zbMATH DE number 48335 (Why is no real title available?)
• Minimax estimation of location vectors for a wide class of densities
• On improved loss estimation for shrinkage estimators
• Robust improvement in estimation of a covariance matrix in an elliptically contoured distribution
• Robust shrinkage estimation for elliptically symmetric distributions with unknown covariance matrix
• Robust shrinkage estimators of the location parameter for elliptically symmetric distributions

Cited in

(4)

• A sharp boundary for SURE-based admissibility for the normal means problem under unknown scale
• Robust minimax Stein estimation under invariant data-based loss for spherically and elliptically symmetric distributions
• Unbiased risk estimates for matrix estimation in the elliptical case
• Data based loss estimation of the mean of a spherical distribution with a residual vector

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