Estimateurs à rétrécisseur matriciel différentiable, pour un côut quadratique général

Anne-Marie Fraisse, Christian Robert and Madeleine Roy

Annals of Economics and Statistics, 1987, issue 8, 161-175

Abstract: The problem of the estimation of a multivariate normal mean when the variance is known up to a multiplicative factor is considered under an arbitrary quadratic loss. We introduce shrinkage estimators with differentiable shrinking functions under weak algebraic assumptions. We deduce sufficient conditions for minimaxity from an unbiased estimator of the risk. We also consider simpler conditions in particular cases like those of shrinking functions with controlled variations.

Date: 1987
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.jstor.org/stable/20075675 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1987:i:8:p:161-175

Access Statistics for this article

Annals of Economics and Statistics is currently edited by Laurent Linnemer

More articles in Annals of Economics and Statistics from GENES Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Laurent Linnemer ().