James-Stein type estimators of variances

DOI10.1016/J.JMVA.2012.01.019MaRDI QIDQ413774zbMATHOpenAlexFDO

Authors Homin Jang, Yuedong Wang, Tiejun Tong

Publication date 7 May 2012

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

Full work available at URL https://doi.org/10.1016/j.jmva.2012.01.019

zbMATH Keywords

inadmissibilityshrinkage parametershrinkage estimationsquared loss functionStein loss function

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12) Admissibility in statistical decision theory (62C15)

Recommendations

• On homogeneous James-Stein type estimators
• On the Stein phenomenon under divergence loss and an unknown variance-covariance matrix
• A class of multiple shrinkage estimators
• A simple motivation for James-Stein estimators
• Improving the James-Stein estimator using the Stein variance estimator

Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 847272 (Why is no real title available?)
• scientific article; zbMATH DE number 3209277 (Why is no real title available?)
• Accurate Ranking of Differentially Expressed Genes by a Distribution-Free Shrinkage Approach
• Estimation with quadratic loss.
• Improved statistical tests for differential gene expression by shrinking variance components estimates
• Linear Models and Empirical Bayes Methods for Assessing Differential Expression in Microarray Experiments
• Optimal Shrinkage Estimation of Variances With Applications to Microarray Data Analysis
• Shrinkage and modification techniques in estimation of variance and the related problems: A review
• Shrinkage-based diagonal discriminant analysis and its applications in high-dimensional data

Cited in

(9)

• James-Stein-Type Estimators in Large Samples With Application to the Least Absolute Deviations Estimator
• A shrinkage approach to joint estimation of multiple covariance matrices
• On the shrinkage estimation of variance
• On homogeneous James-Stein type estimators
• James-Stein estimators for time series regression models
• A comparison of methods for estimating the determinant of high-dimensional covariance matrix
• Asymptotic mean squared error of constrained James-Stein estimators
• A james-stein type detour of U-statistics
• A family of flexible shrinkage estimators for the variances of high-dimensional gene expressions

Describes a project that uses

Uses Software

• SAM
• corpor

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