Shrinkage minimax estimation and positive-part rule for a mean matrix in an elliptically contoured distribution

DOI10.1016/J.SPL.2009.10.009zbMATH Open1180.62084OpenAlexW2038545192MaRDI QIDQ844874FDOQ844874

Authors: Hisayuki Tsukuma 

Publication date: 5 February 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.10.009

Recommendations

• Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution
• On shrinkage estimators in matrix variate elliptical models
• Robust improvement in estimation of a mean matrix in an elliptically contoured distribution
• Shrinkage estimation in elliptically contoured distribution with restricted parameter space
• Improved estimation of a covariance matrix in an elliptically contoured matrix distribution

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Minimax procedures in statistical decision theory (62C20)

Cites Work

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Cited In (8)

• Weighted shrinkage estimators of normal mean matrices and dominance properties
• Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution
• Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution
• The distribution of the Liu-type estimator of the biasing parameter in elliptically contoured models
• On shrinkage estimators in matrix variate elliptical models
• A unified approach to estimating a normal mean matrix in high and low dimensions
• On extension of some identities for the bias and risk functions in elliptically contoured distributions
• Shrinkage estimation in elliptically contoured distribution with restricted parameter space

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