SHRINKAGE EFFICIENCY BOUNDS
Bruce Hansen ()
Econometric Theory, 2015, vol. 31, issue 4, 860-879
This paper is an extension of Magnus (2002, Econometrics Journal 5, 225â€“236) to multiple dimensions. We consider estimation of a multivariate normal mean under sum of squared error loss. We construct the efficiency bound (the lowest achievable risk) for minimax shrinkage estimation in the class of minimax orthogonally invariate estimators satisfying the sufficient conditions of Efron and Morris (1976, Annals of Statistics 4, 11â€“21). This allows us to compare the regret of existing orthogonally invariate shrinkage estimators. We also construct a new shrinkage estimator which achieves substantially lower maximum regret than existing estimators.
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:31:y:2015:i:04:p:860-879_00
Access Statistics for this article
More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().