A new class of generalized Bayes minimax ridge regression estimators

DOI10.1214/009053605000000327zbMATH Open1078.62006arXivmath/0508282OpenAlexW2046802579MaRDI QIDQ2583418FDOQ2583418

Yuzo Maruyama, William E. Strawderman

Publication date: 16 January 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Let y=A�eta+epsilon, where y is an N imes1 vector of observations, �eta is a p imes1 vector of unknown regression coefficients, A is an N imes p design matrix and epsilon is a spherically symmetric error term with unknown scale parameter sigma. We consider estimation of �eta under general quadratic loss functions, and, in particular, extend the work of Strawderman [J. Amer. Statist. Assoc. 73 (1978) 623-627] and Casella [Ann. Statist. 8 (1980) 1036-1056, J. Amer. Statist. Assoc. 80 (1985) 753-758] by finding adaptive minimax estimators (which are, under the normality assumption, also generalized Bayes) of �eta, which have greater numerical stability (i.e., smaller condition number) than the usual least squares estimator. In particular, we give a subclass of such estimators which, surprisingly, has a very simple form. We also show that under certain conditions the generalized Bayes minimax estimators in the normal case are also generalized Bayes and minimax in the general case of spherically symmetric errors.

Full work available at URL: https://arxiv.org/abs/math/0508282

Recommendations

• Bayes minimax ridge regression estimators
• An extended class of minimax generalized Bayes estimators of regression coefficients
• Bayes minimax estimators of a multivariate normal mean, with application to generalized ridge regression
• scientific article
• A robust generalized Bayes estimator improving on the James-Stein estimator for spherically symmetric distributions

zbMATH Keywords

condition numberminimaxitygeneralized Bayes

Mathematics Subject Classification ID

Bayesian inference (62F15) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20) Admissibility in statistical decision theory (62C15)

Cites Work

• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Title not available (Why is that?)
• Estimation with quadratic loss.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Minimax ridge regression estimation
• Proper Bayes Minimax Estimators of the Multivariate Normal Mean
• Minimax estimators of the mean of a multivariate normal distribution
• Families of minimax estimators of the mean of a multivariate normal distribution
• Minimax Adaptive Generalized Ridge Regression Estimators
• A robust generalized Bayes estimator and confidence region for a multivariate normal mean
• Generalized Bayes estimators in multivariate problems
• A robust generalized Bayes estimator improving on the James-Stein estimator for spherically symmetric distributions
• Generalized Bayes minimax estimators of the multivariate normal mean with unknown covariance matrix
• Admissible minimax estimation of a multivariate normal mean with arbitrary quadratic loss
• Condition Numbers and Minimax Ridge Regression Estimators
• Robust improvement in estimation of a mean matrix in an elliptically contoured distribution
• Minimax Bayes estimators of a multivariate normal mean

Cited In (34)

• A class of admissible estimators of multiple regression coefficient with an unknown variance
• Kernel methods in system identification, machine learning and function estimation: a survey
• On admissible estimation of a mean vector when the scale is unknown
• Fully Bayes factors with a generalized \(g\)-prior
• SURE Estimates for a Heteroscedastic Hierarchical Model
• Asymptotics of coverages of HD confidence sets and recentering at shrinkage estimates: phase transitions, large deviations
• Generalized Bayes minimax estimators of the mean of multivariate normal distribution with unknown variance
• Estimation of the mean vector in a singular multivariate normal distribution
• Enhanced ridge regressions
• Generalized ridge estimator and model selection criteria in multivariate linear regression
• Multicollinearity and financial constraint in investment decisions: a Bayesian generalized ridge regression
• Bayes minimax ridge regression estimators
• Title not available (Why is that?)
• Bayes minimax estimators of a multivariate normal mean, with application to generalized ridge regression
• Estimation of a non-negative location parameter with unknown scale
• Generalized Bayes minimax estimation of the normal mean matrix with unknown covariance matrix
• Bayes minimax estimation of the multivariate normal mean vector under quadratic loss functions
• Necessary conditions for dominating the James-Stein estimator
• A generalization and Bayesian interpretation of ridge-type estimators with good prior means
• Admissible Bayes equivariant estimation of location vectors for spherically symmetric distributions with unknown scale
• Stein estimation for spherically symmetric distributions: recent developments
• An extended class of minimax generalized Bayes estimators of regression coefficients
• Generalized Bayes estimators with closed forms for the normal mean and covariance matrices
• Bayesian predictive density estimation for a chi-squared model using information from a normal observation with unknown mean and variance
• Title not available (Why is that?)
• A sharp boundary for SURE-based admissibility for the normal means problem under unknown scale
• Predictive density estimation under the Wasserstein loss
• A Bayesian approach with generalized ridge estimation for high-dimensional regression and testing
• Dropout drops double descent
• A class of minimax ridge rules
• Title not available (Why is that?)
• On efficient prediction and predictive density estimation for normal and spherically symmetric models
• Posterior Odds with a Generalized Hyper-g-Prior
• Adaptive ridge estimator in a linear regression model with spherically symmetric error under constraint

This page was built for publication: A new class of generalized Bayes minimax ridge regression estimators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2583418)