A robust generalized Bayes estimator improving on the James-Stein estimator for spherically symmetric distributions

DOI10.1524/STND.21.1.69.20318zbMATH Open1044.62062OpenAlexW2314749193MaRDI QIDQ4454296FDOQ4454296

Yuzo Maruyama

Publication date: 8 March 2004

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/90bf60b743404eef23e432a76c616fe7199f509c

zbMATH Keywords

robustness of improvement

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian problems; characterization of Bayes procedures (62C10) Admissibility in statistical decision theory (62C15)

Cited In (16)

• Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution
• Generalized Bayes minimax estimators of the mean of multivariate normal distribution with unknown variance
• Robust minimax Stein estimation under invariant data-based loss for spherically and elliptically symmetric distributions
• Data based loss estimation of the mean of a spherical distribution with a residual vector
• Estimation of a non-negative location parameter with unknown scale
• Generalized Bayes minimax estimators of location vectors for spherically symmetric distributions with residual vector
• 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
• Estimation of the mean of a spherically symmetric distribution with constraints on the norm
• On completeness of the general linear model with spherically symmetric errors
• Robust estimation of common regression coefficients under spherical symmetry
• Title not available (Why is that?)
• On efficient prediction and predictive density estimation for normal and spherically symmetric models
• Estimation in spherically symmetric regression with random design
• A new class of generalized Bayes minimax ridge regression estimators

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