Bayes minimax estimators of a multivariate normal mean, with application to generalized ridge regression

DOI10.1080/03610928308828645MaRDI QIDQ3316397zbMATH OpenOpenAlexFDO

Authors Edward A. Cooley, Pi-Erh Lin

Publication date 1983

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928308828645

zbMATH Keywords

admissibilityrisk functionmultivariate normal meangeneralized Bayesgeneralized ridge regressioncanonical form of multiple regression

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Minimax procedures in statistical decision theory (62C20)

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Cites work

• Admissible minimax estimation of a multivariate normal mean with arbitrary quadratic loss
• Combining independent normal mean estimation problems with unknown variances
• Estimation of the mean of a multivariate normal distribution
• Generalized Bayes minimax estimators of the multivariate normal mean with unknown covariance matrix
• Minimax estimation of a normal mean vector when the covariance matrix is unknown
• Proper Bayes Minimax Estimators of the Multivariate Normal Mean
• Proper Bayes minimax estimators of the multivariate normal mean vector for the case of common unknown variances

Cited in

(9)

• Bayes minimax estimation of the multivariate normal mean vector for the case of common unknown variance
• Minimax multivariate empirical Bayes estimators under multicollinearity
• Bayes estimation of the multiple correlation coefficient
• Bayes minimax ridge regression estimators
• A generalization and Bayesian interpretation of ridge-type estimators with good prior means
• An extended class of minimax generalized Bayes estimators of regression coefficients
• scientific article; zbMATH DE number 4064275 (Why is no real title available?)
• On multivariate ridge regression
• A new class of generalized Bayes minimax ridge regression estimators

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