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Stein estimation under elliptical distributions

Author

Listed:
  • Srivastava, M. S.
  • Bilodeau, M.

Abstract

In a subclass of elliptical distributions, Stein estimators are robust in estimating the mean vector and the regression parameters in a linear regression model. Unbiased estimates of bias and risk are also given for the regression model.

Suggested Citation

  • Srivastava, M. S. & Bilodeau, M., 1989. "Stein estimation under elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 28(2), pages 247-259, February.
    • Handle: RePEc:eee:jmvana:v:28:y:1989:i:2:p:247-259
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    Citations

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    Cited by:

    1. Marchand, Éric & Perron, François, 2005. "Improving on the mle of a bounded location parameter for spherical distributions," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 227-238, February.
    2. Frahm, Gabriel & Memmel, Christoph, 2010. "Dominating estimators for minimum-variance portfolios," Journal of Econometrics, Elsevier, vol. 159(2), pages 289-302, December.
    3. Frahm, Gabriel & Memmel, Christoph, 2008. "Dominating estimators for the global minimum variance portfolio," Discussion Papers in Econometrics and Statistics 2/08, University of Cologne, Institute of Econometrics and Statistics.
    4. M. Arashi & A. Saleh & S. Tabatabaey, 2010. "Estimation of parameters of parallelism model with elliptically distributed errors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 71(1), pages 79-100, January.
    5. repec:hal:journl:peer-00741629 is not listed on IDEAS
    6. Liebscher Eckhard, 2023. "Constructing models for spherical and elliptical densities," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-19, January.
    7. Kubokawa, T. & Srivastava, M. S., 2001. "Robust Improvement in Estimation of a Mean Matrix in an Elliptically Contoured Distribution," Journal of Multivariate Analysis, Elsevier, vol. 76(1), pages 138-152, January.
    8. Fourdrinier Dominique & Strawderman William E. & Wells Martin T., 2009. "Improved estimation for elliptically symmetric distributions with unknown block diagonal covariance matrix," Statistics & Risk Modeling, De Gruyter, vol. 26(3), pages 203-217, April.
    9. Fourdrinier, Dominique & Strawderman, William E. & Wells, Martin T., 2003. "Robust shrinkage estimation for elliptically symmetric distributions with unknown covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 24-39, April.
    10. Arashi, M. & Kibria, B.M. Golam & Norouzirad, M. & Nadarajah, S., 2014. "Improved preliminary test and Stein-rule Liu estimators for the ill-conditioned elliptical linear regression model," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 53-74.

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