Methods for improvement in estimation of a normal mean matrix

DOI10.1016/j.jmva.2007.04.009zbMath1122.62049MaRDI QIDQ2455466

Hisayuki Tsukuma, Tatsuya Kubokawa

Publication date: 24 October 2007

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2007.04.009

zbMATH Keywords

James-Stein estimator; shrinkage estimation; minimaxity; multivariate linear regression model; simultaneous estimation; empirical Bayes estimator; MANOVA model

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62C20: Minimax procedures in statistical decision theory

65C05: Monte Carlo methods

62C12: Empirical decision procedures; empirical Bayes procedures

Related Items

Confidence sets based on the positive part James–Stein estimator with the asymptotically constant coverage probability, A new estimator of covariance matrix, Further results on estimation of covariance matrix, Generalized Bayes minimax estimation of the normal mean matrix with unknown covariance matrix, A new estimator of covariance matrix via partial Iwasawa coordinates, Improved loss estimation for a normal mean matrix, Shrinkage estimation with a matrix loss function, Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution, A unified approach to estimating a normal mean matrix in high and low dimensions, James-Stein estimation problem for a multivariate normal random matrix and an improved estimator

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