On extension of some identities for the bias and risk functions in elliptically contoured distributions

Sévérien Nkurunziza and Fuqi Chen

Journal of Multivariate Analysis, 2013, vol. 122, issue C, 190-201

Abstract: In this paper, we are interested in an estimation problem concerning the mean parameter of a random matrix whose distribution is elliptically contoured. We derive two general formulas for the bias and risk functions of a class of multidimensional shrinkage-type estimators. As a by product, we generalize some recent identities established in Gaussian sample cases for which the shrinking random part is a single Kronecker-product. Here, the variance–covariance matrix of the shrinking random part is the sum of two Kronecker-products.

Keywords: Bias function; Elliptically contoured distribution; Kronecker-product; Matrix estimation; Risk function; Stein rules (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.jmva.2013.07.005

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