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

DOI10.1524/STND.21.1.69.20318MaRDI QIDQ4454296zbMATH OpenOpenAlexFDO

Authors 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)

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• On completeness of the general linear model with spherically symmetric errors
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• Improved robust Bayes estimators of the error variance in linear models
• On efficient prediction and predictive density estimation for normal and spherically symmetric models
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• Estimation in spherically symmetric regression with random design
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