A geometrical explanation of Stein shrinkage

DOI10.1214/11-STS382zbMath1330.62282arXiv1203.4737OpenAlexW2001096624MaRDI QIDQ2634652

Linda H. Zhao, Lawrence D. Brown

Publication date: 18 February 2016

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.4737

zbMATH Keywords

minimaxempirical Bayesshrinkagehigh-dimensional geometryStein estimation

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Admissibility in statistical decision theory (62C15)

Related Items (3)

Larry Brown's work on admissibility ⋮ Geometry and applied statistics ⋮ Prediction and calibration for multiple correlated variables

Cites Work

• Estimation of the mean of a multivariate normal distribution
• Stein estimation: The spherically symmetric case
• Admissibility in statistical problems involving a location or scale parameter
• On the Admissibility of Invariant Estimators of One or More Location Parameters
• Limiting the Risk of Bayes and Empirical Bayes Estimators--Part I: The Bayes Case
• Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems
• On Minimax Statistical Decision Procedures and their Admissibility
• The Admissibility of Certain Invariant Statistical Tests Involving a Translation Parameter
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