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Generalized Bayesian shrinkage and wavelet estimation of location parameter for spherical distribution under balance-type loss: Minimaxity and admissibility

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  • Karamikabir, Hamid
  • Afshari, Mahmoud

Abstract

One of the most important subject in multivariate analysis is parameters estimation. Among different methods, the shrinkage estimation is of interest. In this paper we consider the generalized Bayes shrinkage estimator of location parameter for spherical distribution under balance-type loss. We assume that the random vector having a spherical symmetric distribution with the known scalar variational component. Also, we find minimax and admissible estimator of location parameter based on generalized Bayes estimator. We investigate wavelet generalized Bayes estimator of location under balance-LINEX loss function. At the end, the performance evaluation of the proposed class of estimators is checked through a simulation study.

Suggested Citation

  • Karamikabir, Hamid & Afshari, Mahmoud, 2020. "Generalized Bayesian shrinkage and wavelet estimation of location parameter for spherical distribution under balance-type loss: Minimaxity and admissibility," Journal of Multivariate Analysis, Elsevier, vol. 177(C).
    • Handle: RePEc:eee:jmvana:v:177:y:2020:i:c:s0047259x19303239
    DOI: 10.1016/j.jmva.2019.104583
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    Cited by:

    1. Hamid Karamikabir & Nasrin Karamikabir & Mohammad Ali Khajeian & Mahmoud Afshari, 2023. "Bayesian Wavelet Stein’s Unbiased Risk Estimation of Multivariate Normal Distribution Under Reflected Normal Loss," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-20, March.

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