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A robust generalized Bayes estimator improving on the James-Stein estimator for spherically symmetric distributions

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  • Maruyama Yuzo

Abstract

The problem of estimating a mean vector for spherically symmetric distributions with the quadratic loss function is considered. A robust generalized Bayes estimator improving on the James-Stein estimator is given.

Suggested Citation

  • Maruyama Yuzo, 2003. "A robust generalized Bayes estimator improving on the James-Stein estimator for spherically symmetric distributions," Statistics & Risk Modeling, De Gruyter, vol. 21(1), pages 69-78, January.
    • Handle: RePEc:bpj:strimo:v:21:y:2003:i:1/2003:p:69-78:n:7
    DOI: 10.1524/stnd.21.1.69.20318
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    References listed on IDEAS

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    1. Cellier, Dominique & Fourdrinier, Dominique & Robert, Christian, 1989. "Robust shrinkage estimators of the location parameter for elliptically symmetric distributions," Journal of Multivariate Analysis, Elsevier, vol. 29(1), pages 39-52, April.
    2. 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.
    3. Kubokawa, Tatsuya, 1991. "An approach to improving the James-Stein estimator," Journal of Multivariate Analysis, Elsevier, vol. 36(1), pages 121-126, January.
    4. Eaton, Morris L., 1986. "A characterization of spherical distributions," Journal of Multivariate Analysis, Elsevier, vol. 20(2), pages 272-276, December.
    5. Alam, Khursheed, 1975. "Minimax and admissible minimax estimators of the mean of a multivariate normal distribution for unknown covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 5(1), pages 83-95, March.
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    Cited by:

    1. Tsukuma, Hisayuki, 2010. "Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1483-1492, July.
    2. Maruyama, Yuzo & Strawderman, William E., 2009. "An extended class of minimax generalized Bayes estimators of regression coefficients," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2155-2166, November.
    3. Wells, Martin T. & Zhou, Gongfu, 2008. "Generalized Bayes minimax estimators of the mean of multivariate normal distribution with unknown variance," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2208-2220, November.

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