An extended class of minimax generalized Bayes estimators of regression coefficients

Yuzo Maruyama and William E. Strawderman

Journal of Multivariate Analysis, 2009, vol. 100, issue 10, 2155-2166

Abstract: We derive minimax generalized Bayes estimators of regression coefficients in the general linear model with spherically symmetric errors under invariant quadratic loss for the case of unknown scale. The class of estimators generalizes the class considered in Maruyama and Strawderman [Y. Maruyama, W.E. Strawderman, A new class of generalized Bayes minimax ridge regression estimators, Ann. Statist., 33 (2005) 1753-1770] to include non-monotone shrinkage functions.

Keywords: Regression; Minimaxity; Shrinkage; estimators; Generalized; Bayes; estimators; Invariant; loss; Unknown; variance; Hypergeometric; function (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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