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| Titel: |
A lower bound for the risk of classes of shrinkage estimators ina general multivariate estimation problem and some deduced estimators |
| Auteur: |
Robert, Christian |
| Verschenen in: |
Communications in statistics |
| Paginering: | Jaargang 18 (1989) nr. 6 pagina's 2289-2299 |
| Jaar: |
1989 |
| Inhoud: |
Given a general statistical model and an arbitrary quadratic loss, we propose a lower bound for the associated risk of a class of shrinkage estimators. With respect to the considered class of shrinkage estimators, this bound is optimal.In the particular case of the estimation of the location parameter of an ellipti-cally symmetric distribution, this bound can be used to find the relative improvement brought by a given estimator and the remaining possible improvement, using a Monte-Carlo method. We deduce from these results a new type of shrinkage estimators whose risk can be as close as one wants of the lower bound near a chosen pole and yet remain bounded. Some of them are good alternatives to the positive-part James-Stein estimator. |
| Uitgever: |
Taylor & Francis |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 1 van 23 gevonden artikelen
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