Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution

DOI10.1016/J.JMVA.2010.02.004zbMATH Open1186.62077OpenAlexW2072418940MaRDI QIDQ968500FDOQ968500

Authors: Hisayuki Tsukuma 

Publication date: 5 May 2010

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.02.004

Recommendations

• Shrinkage minimax estimation and positive-part rule for a mean matrix in an elliptically contoured distribution
• On shrinkage estimators in matrix variate elliptical models
• Shrinkage estimation in elliptically contoured distribution with restricted parameter space
• The bias and risk functions of some Stein-rules in elliptically contoured distributions
• On extension of some identities for the bias and risk functions in elliptically contoured distributions

zbMATH Keywords

decision theoryhierarchical modelquadratic lossscale mixtureshrinkage estimatormultivariate linear modelminimaxityLaplace transformation

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian problems; characterization of Bayes procedures (62C10)

Cites Work

• Estimation of the mean of a multivariate normal distribution
• Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimation with quadratic loss.
• An identity for the Wishart distribution with applications
• Empirical Bayes on vector observations: An extension of Stein's method
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimation and decision for linear systems with elliptical random processes
• Minimax estimation of location parameters for certain spherically symmetric distributions
• Posterior propriety and admissibiity of hyperpriors in normal hierarchical models
• Generalized Bayes minimax estimation of the normal mean matrix with unknown covariance matrix
• Admissibility and minimaxity of Bayes estimators for a normal mean matrix
• Generalized Bayes minimax estimators of location vectors for spherically symmetric distribu\-tions
• A robust generalized Bayes estimator improving on the James-Stein estimator for spherically symmetric distributions
• Generalized Bayes minimax estimators of the multivariate normal mean with unknown covariance matrix
• On estimation of a matrix of normal means with unknown covariance matrix
• The distribution of Hermitian quadratic forms in elliptically contoured random vectors
• Robust improvement in estimation of a mean matrix in an elliptically contoured distribution
• Title not available (Why is that?)

Cited In (8)

• Bayesian statistical inference for Laplacian class of matrix variate elliptically contoured models
• Shrinkage minimax estimation and positive-part rule for a mean matrix in an elliptically contoured distribution
• On shrinkage estimators in matrix variate elliptical models
• Estimation of the mean vector of a multivariate elliptically contoured distribution
• On extension of some identities for the bias and risk functions in elliptically contoured distributions
• A note on linearly constrained Bayes estimator in elliptical models
• Bayesian analysis in multivariate regression models with conjugate priors
• Shrinkage estimation in elliptically contoured distribution with restricted parameter space

This page was built for publication: Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q968500)