The Stein phenomenon for monotone incomplete multivariate normal data

DOI10.1016/j.jmva.2009.11.002zbMath1264.62049OpenAlexW2004459440MaRDI QIDQ847421

Tomoya Yamada, Donald St. P. Richards

Publication date: 12 February 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.11.002

zbMATH Keywords

James-Stein estimatorshrinkage estimatorWishart distributionmissing completely at randomempirical Bayes estimationCauchy's interlacing theorempositive-part estimatorsquared-error loss function

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Admissibility in statistical decision theory (62C15)

Related Items

Finite-sample inference with monotone incomplete multivariate normal data. II ⋮ Kurtosis tests for multivariate normality with monotone incomplete data ⋮ Unbiased Estimator for a Covariance Matrix Under Two-Step Monotone Incomplete Sample ⋮ Maximum likelihood estimation of the mean of a multivariate normal population with monotone incomplete data ⋮ Finite-sample inference with monotone incomplete multivariate normal data, III: Hotelling’s T²-statistic

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multivariate tests with incomplete data
• Finite-sample inference with monotone incomplete multivariate normal data. I.
• Finite-sample inference with monotone incomplete multivariate normal data. II
• Errors in discrimination with monotone missing data from multivariate normal populations
• Statistical decision theory and Bayesian analysis. 2nd ed
• Maximum-likelihood estimation of the parameters of a multivariate normal distribution
• Estimation of the mean of a multivariate normal distribution
• Some one-sample hypothesis testing problems when there is a monotone sample from a multivariate normal population
• Estimation of a normal covariance matrix with incomplete data under Stein's loss
• Testing lattice conditional independence models based on monotone missing data.
• The heat equation and Stein's identity: connections, applications
• Improved Minimax Estimators of Normal Covariance and Precision Matrices from Incomplete Samples
• Maximum likelihood estimation for multivariate normal distribution with monotone sample
• Maximum Likelihood Estimates for a Multivariate Normal Distribution when some Observations are Missing
• Some Basic Properties of the Mle's for a Multivariate Normal Distribution with Monotone Missing Data
• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
• Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
• Multivariate Linear Regression Model with Elliptically Contoured Distributed Errors and Monotone Missing Dependent Variables
• Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems
• Inferences on a normal covariance matrix and generalized variance with monotone missing data