The Annals of Statistics

On Some Shrinkage Estimators of Multivariate Location

Pranab Kumar Sen and A.K.MD. Ehsanes Saleh

Full-text: Open access

Abstract

For a continuous and diagonally symmetric multivariate distribution, incorporating the idea of preliminary test estimators, a variant form of the James-Stein type estimation rule is used to formulate some shrinkage estimators of location based on rank statistics and $U$-statistics. In an asymptotic setup, the relative risks for these shrinkage estimators are shown to be smaller than their classical counterparts.

Article information

Source
Ann. Statist., Volume 13, Number 1 (1985), 272-281.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176346592

Digital Object Identifier
doi:10.1214/aos/1176346592

Mathematical Reviews number (MathSciNet)
MR773167

Zentralblatt MATH identifier
0564.62029

JSTOR
links.jstor.org

Subjects
Primary: 62C15: Admissibility
Secondary: 62G05: Estimation 62G99: None of the above, but in this section

Keywords
Asymptotic risk James-Stein rule local alternatives preliminary test estimator rank estimator robustness shrinkage estimates $U$-statistics

Citation

Sen, Pranab Kumar; Saleh, A.K.MD. Ehsanes. On Some Shrinkage Estimators of Multivariate Location. Ann. Statist. 13 (1985), no. 1, 272--281. doi:10.1214/aos/1176346592. https://projecteuclid.org/euclid.aos/1176346592


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