Shrinkage estimation under multivariate elliptic models

DOI10.1080/03610926.2011.602492MaRDI QIDQ2839070zbMATH OpenOpenAlexFDO

Authors M. Arashi, Shahjahan Khan, S. M. M. Tabatabaey, H. Soleimani

Publication date 4 July 2013

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.602492

zbMATH Keywords

bias and risk functionselliptically contoured distributionsHoteling's \(T^2\) statisticquadratic lossStein-type and positive-rule shrinkage estimators

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

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Cited in

(11)

• On some shrinkage estimators of multivariate location
• Improved estimation of a covariance matrix in an elliptically contoured matrix distribution
• On estimation in multivariate linear calibration with elliptical errors
• On shrinkage estimators in matrix variate elliptical models
• On mathematical characteristics of some improved estimators of the mean and variance components in elliptically contoured 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
• Shrinkage estimation of location parameters in a multivariate skew-normal distribution
• Preliminary test and Stein-type estimation of location parameter for elliptically contoured distributions
• Confidence ellipsoids based on a general family of shrinkage estimators for a linear model with non-spherical disturbances
• Shrinkage and variable selection by polytopes

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