Robustified version of Stein's multivariate location estimation

DOI10.1016/0167-7152(90)90149-2MaRDI QIDQ909388zbMATH OpenOpenAlexFDO

Authors A. K. Md. Ehsanes Saleh, Jana Jurečková

Publication date 1990

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

Full work available at URL https://doi.org/10.1016/0167-7152(90)90149-2

zbMATH Keywords

quadratic losssuperharmonic functionmultivariate normal meanexponential in tailsStein class of estimators

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

• scientific article; zbMATH DE number 3300124 (Why is no real title available?)
• A natural identity for exponential families with applications in multiparameter estimation
• Estimation of the mean of a multivariate normal distribution
• Robust Statistics
• The superharmonic condition for simultaneous estimation of means in exponential familles

Cited in

(2)

• Robustness of Stein-type estimators under a non-scalar error covariance structure
• Robust multivariate location estimation, admissibility, and shrinkage phenomenon

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