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

DOI10.1016/J.SPL.2009.10.009MaRDI QIDQ844874zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• scientific article; zbMATH DE number 48335 (Why is no real title available?)
• scientific article; zbMATH DE number 1220667 (Why is no real title available?)
• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
• Empirical Bayes on vector observations: An extension of Stein's method
• Estimation with quadratic loss.
• On estimation of a matrix of normal means with unknown covariance matrix
• On singular Wishart and singular multivariate beta distributions
• Robust improvement in estimation of a mean matrix in an elliptically contoured distribution

Cited in

(8)

• 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
• Shrinkage estimation in elliptically contoured distribution with restricted parameter space
• Weighted shrinkage estimators of normal mean matrices and dominance properties
• Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution
• 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
• On shrinkage estimators in matrix variate elliptical models

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