On Minimaxity and Limit of Risks Ratio of James-Stein Estimator Under the Balanced Loss Function

DOI10.46793/KGJMAT2303.459HMaRDI QIDQ6166522zbMATH OpenOpenAlexFDO

Authors Abdenour Hamdaoui, Abdelkader Benkhaled, M. Terbeche

Publication date 2 August 2023

Published in Kragujevac Journal of Mathematics (Search for Journal in Brave)

Full work available at URL http://elib.mi.sanu.ac.rs/files/journals/kjm/77/kjmn77p459-479.pdf

zbMATH Keywords

risk ratioJames-Stein estimatorbalanced loss functionshrinkage estimatorminimaxitynon-central chi-square distributionmultivariate Gaussian random variable

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) 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
• Asymptotic properties of risks ratios of shrinkage estimators
• Estimating the Mean of a Multivariate Normal Population with General Quadratic Loss Function
• Estimating the mean function of a Gaussian process and the Stein effect
• Estimation of a normal mean relative to balanced loss functions
• Estimation of the mean of a multivariate normal distribution
• Estimation with quadratic loss.
• General classes of shrinkage estimators for the multivariate normal mean with unknown variance: minimaxity and limit of risks ratios
• Generalized james-stein estimatoes
• Limit expressions for the risk of james‐stein estimators
• Limit of the ratio of risks of James-Stein estimators with unknown variance
• Minimax estimators of the mean of a multivariate normal distribution
• More on the restricted ridge regression estimation
• Optimal shrinkage estimation of mean parameters in family of distributions with quadratic variance
• The optimal extended balanced loss function estimators
• The risk of James-Stein and Lasso shrinkage

Cited in

(1)

• Limits of Risks Ratios of Shrinkage Estimators under the Balanced Loss Function

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