Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution

Hisayuki Tsukuma

Journal of Multivariate Analysis, 2010, vol. 101, issue 6, 1483-1492

Abstract: This paper deals with the problem of estimating the mean matrix in an elliptically contoured distribution with unknown scale matrix. The Laplace and inverse Laplace transforms of the density allow us not only to evaluate the risk function with respect to a quadratic loss but also to simplify expressions of Bayes estimators. Consequently, it is shown that generalized Bayes estimators against shrinkage priors dominate the unbiased estimator.

Keywords: Decision; theory; Hierarchical; model; The; Laplace; transformation; Minimaxity; Multivariate; linear; model; Quadratic; loss; Scale; mixture; Shrinkage; estimator (search for similar items in EconPapers)
Date: 2010
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