A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
From MaRDI portal
Publication:5120225
DOI10.1214/aoms/1177697104zbMath0204.52504OpenAlexW1977003570WikidataQ100904763 ScholiaQ100904763MaRDI QIDQ5120225
Publication date: 9 September 2020
Published in: The Annals of Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoms/1177697104
Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)
Related Items (88)
Estimation of a parameter vector restricted to a cone ⋮ Improving the James-Stein estimator using the Stein variance estimator ⋮ On the inadmissibility of preliminary-test estimators when the loss involves a complexity cost ⋮ Shrinkage minimax estimation and positive-part rule for a mean matrix in an elliptically contoured distribution ⋮ The Stein phenomenon for monotone incomplete multivariate normal data ⋮ Bayes minimax estimation of the multivariate normal mean vector under quadratic loss functions ⋮ Non-parametric shrinkage mean estimation for quadratic loss functions with unknown covariance matrices ⋮ Dominance of the positive-part version of the James-Stein estimator ⋮ PMSE performance of two different types of preliminary test estimators under a multivariate t error term ⋮ The linear minimax estimator of stochastic regression coefficients and parameters under quadrat\-ic loss function ⋮ James-Stein estimation problem for a multivariate normal random matrix and an improved estimator ⋮ SURE estimates under dependence and heteroscedasticity ⋮ Double shrunken selection operator ⋮ A unified and broadened class of admissible minimax estimators of a multivariate normal mean ⋮ Bayes minimax estimation of the multivariate normal mean vector under balanced loss function ⋮ Estimating the mean and variance of a high-dimensional normal distribution using a mixture prior ⋮ Data based loss estimation of the mean of a spherical distribution with a residual vector ⋮ Minimax estimation of the mean of spherically symmetric distributions under general quadratic loss ⋮ Horseshoe Regularisation for Machine Learning in Complex and Deep Models1 ⋮ On predictive density estimation for location families under integrated squared error loss ⋮ Unnamed Item ⋮ Admissible and minimax multiparameter estimation in exponential families ⋮ Generalized ridge regression, least squares with stochastic prior information, and Bayesian estimators ⋮ PMSE dominance of the positive-part shrinkage estimator in a regression model when relevant regressors are omitted. ⋮ Set-induced minimax estimators for a multivariate normal mean. ⋮ Bayes minimax estimators of a multivariate normal mean ⋮ Minimum mean-squared error estimation in linear regression with an inequality constraint ⋮ Optimal shrinkage estimator for high-dimensional mean vector ⋮ Estimation of the mean vector in a singular multivariate normal distribution ⋮ MSE performance of the weighted average estimators consisting of shrinkage estimators ⋮ On shrinkage estimation of a spherically symmetric distribution for balanced loss functions ⋮ Estimation and testing in generalized mean-reverting processes with change-point ⋮ Estimation of a mean vector under quartic loss ⋮ Estimation, prediction and the Stein phenomenon under divergence loss ⋮ Generalized Bayes minimax estimators of the mean of multivariate normal distribution with unknown variance ⋮ A sequence of improvements over the James-Stein estimator ⋮ Comparisons of estimators for regression coefficient in a misspecified linear model with elliptically contoured errors ⋮ MSE performance of the 2SHI estimator in a regression model with multivariate \(t\) error terms ⋮ Improved Stein-rule estimator for regression problems ⋮ Admissibility and minimaxity of generalized Bayes estimators for spherically symmetric family ⋮ Minimax and admissible minimax estimators of the mean of a multivariate normal distribution for unknown covariance matrix ⋮ Bayes minimax estimation of the multivariate normal mean vector for the case of common unknown variance ⋮ A note on classical Stein-type estimators in elliptically contoured models ⋮ PMSE performance of the Stein-rule and positive-part Stein-rule estimators in a regression model with or without proxy variables ⋮ Minimax estimation of a multivariate normal mean under arbitrary quadratic loss ⋮ A class of minimax estimators of the scale parameter of the uniform distribution ⋮ Minimax estimation of a multivariate normal mean under polynomial loss ⋮ Stein-type estimation in logistic regression models based on minimum \(\phi\)-divergence estimators ⋮ Minimax estimation of a normal covariance matrix with the partial Iwasawa decomposition ⋮ Fractionally-supervised classification ⋮ A sufficient condition for the MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated in a misspecified linear regression model ⋮ PMSE dominance of the positive-part shrinkage estimator in a regression model with proxy variables ⋮ On shrinkage estimation for balanced loss functions ⋮ Simultaneous estimation of \(p\) positive normal means with common unknown variance ⋮ Minimax Bayes estimators of a multivariate normal mean ⋮ Stein estimation for non-normal spherically symmetric location families in three dimensions ⋮ Adaptive estimation strategies in gamma regression model ⋮ Shrinkage estimation of non-negative mean vector with unknown covariance under balance loss ⋮ Recent advances in shrinkage-based high-dimensional inference ⋮ A family of dominating minimax estimators of a multivariate normal mean ⋮ Stein estimation -- a review ⋮ Minimax estimators in the normal MANOVA model ⋮ On the Stein phenomenon under divergence loss and an unknown variance-covariance matrix ⋮ Robustness of Stein-type estimators under a non-scalar error covariance structure ⋮ A note on improving on a vector of coordinate-wise estimators of non-negative means via shrinkage ⋮ On predictive density estimation under \(\alpha\)-divergence loss ⋮ Pre-test double \(k\)-class estimators in linear regression ⋮ On homogeneous James-Stein type estimators ⋮ MSE dominance of the PT-2SHI estimator over the positive-part Stein-rule estimator in regression ⋮ Minimax estimation of location parameters for certain spherically symmetric distributions ⋮ A class of modified Stein estimators with easily computable risk functions ⋮ Risk comparison of improved estimators in a linear regression model with multivariate \(t\) errors under balanced loss function ⋮ MSE performance of a heterogeneous pre-test estimator ⋮ A family of minimax estimators of a multivariate normal mean ⋮ On improved shrinkage estimators for concave loss ⋮ Trimmed estimates in simultaneous estimation of parameters in exponential families ⋮ MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated ⋮ Baranchick-type Estimators of a Multivariate Normal Mean Under the General Quadratic Loss Function ⋮ A Note on Estimation of a Distribution Function in a Nonparametric Set-up Using Stein’s Shrinkage Estimation Technique ⋮ Robust minimax Stein estimation under invariant data-based loss for spherically and elliptically symmetric distributions ⋮ Wavelet threshold based on Stein's unbiased risk estimators of restricted location parameter in multivariate normal ⋮ Stein-like 2SLS estimator ⋮ Minimax hierarchical empirical Bayes estimation in multivariate regression ⋮ Empirical Bayes minimax estimators of matrix normal means ⋮ MSE performance of the weighted average estimators consisting of shrinkage estimators when each individual regression coefficient is estimated ⋮ A unified approach to estimating a normal mean matrix in high and low dimensions ⋮ The Stein effect for Fréchet means ⋮ Exact distribution of a pre-test estimator for regression error variance when there are omitted variables.
This page was built for publication: A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
