Advanced Search
MyIDEAS: Login to save this paper or follow this series

Integral Inequality for Minimaxity and Characterization of Priors by Use of Inverse Laplace Transform

Contents:

Author Info

  • Tatsuya Kubokawa

    (Faculty of Economics, University of Tokyo)

Registered author(s):

    Abstract

    In the estimation of a multivariate normal mean, it is shown that the problem of deriving shrinkage estimators improving on the maximum likelihood estimator can be reduced to that of solving an integral inequality. The integral inequality not only provides a more general condition than a differential inequality studied in the literature, but also handles non-differentiable or discontinuous estimators. The paper also gives characterization of prior distributions such that the resulting Bayes equivariant or generalized Bayes estimators are minimax. This characterization is provided by using the inverse Laplace transform. Finally, a simple proof for constructing a class of estimators improving on the James-Stein estimator is given based on the integral expression of the risk.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-393.

    as in new window
    Length: 33 pages
    Date of creation: Jan 2006
    Date of revision:
    Handle: RePEc:tky:fseres:2006cf393

    Contact details of provider:
    Postal: Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033
    Phone: +81-3-5841-5644
    Fax: +81-3-5841-8294
    Email:
    Web page: http://www.cirje.e.u-tokyo.ac.jp/index.html
    More information through EDIRC

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:tky:fseres:2006cf393. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CIRJE administrative office).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.