Estimation, prediction and the Stein phenomenon under divergence loss

DOI10.1016/J.JMVA.2008.02.002zbMATH Open1274.62080OpenAlexW1963870319MaRDI QIDQ953855FDOQ953855

Authors: Malay Ghosh, V. Mergel', Gauri Sankar Datta 

Publication date: 6 November 2008

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.02.002

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zbMATH Keywords

empirical BayesadmissibilityminimaxityKullback-Leibler lossBaranchick classBhattacharyya-Hellinger loss

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12) Minimax procedures in statistical decision theory (62C20) Admissibility in statistical decision theory (62C15)

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Cited In (25)

• Reference priors via \(\alpha \)-divergence for a certain non-regular model in the presence of a nuisance parameter
• On the Stein phenomenon under divergence loss and an unknown variance-covariance matrix
• On the Loss Robustness of Least-Square Estimators
• Admissible predictive density estimation
• Stein-rule estimation under an extended balanced loss function
• Stochastic domination in predictive density estimation for ordered normal means under \(\alpha\)-divergence loss
• Title not available (Why is that?)
• On the Stein effect under density power divergence loss
• Density prediction and the Stein phenomenon
• On predictive density estimation under \(\alpha\)-divergence loss
• Exact minimax estimation of the predictive density in sparse Gaussian models
• From minimax shrinkage estimation to minimax shrinkage prediction
• On discrete priors and sparse minimax optimal predictive densities
• Matrix variate density estimation with additional information
• Some Variants of Constrained Estimation in Finite Population Sampling
• The informational gain from Stein and hierarchial Stein estimators
• A Generalized Bayes Rule for Prediction
• Optimal shrinkage estimation of predictive densities under \(\alpha\)-divergences
• Pitman closeness domination in predictive density estimation for two-ordered normal means under \(\alpha \)-divergence loss
• On generalized moment identity and its applications: a unified approach
• On minimax optimality of sparse Bayes predictive density estimates
• Bayesian prediction of a density function in terms of \(e\)-mixture
• On predictive density estimation with additional information
• Hierarchical empirical Bayes estimation of two sample means under divergence loss
• Minimax estimation of the mean matrix of the matrix variate normal distribution under the divergence loss function

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