Generalized Bayesian shrinkage and wavelet estimation of location parameter for spherical distribution under balance-type loss: Minimaxity and admissibility

Hamid Karamikabir and Mahmoud Afshari

Journal of Multivariate Analysis, 2020, vol. 177, issue C

Abstract: One of the most important subject in multivariate analysis is parameters estimation. Among different methods, the shrinkage estimation is of interest. In this paper we consider the generalized Bayes shrinkage estimator of location parameter for spherical distribution under balance-type loss. We assume that the random vector having a spherical symmetric distribution with the known scalar variational component. Also, we find minimax and admissible estimator of location parameter based on generalized Bayes estimator. We investigate wavelet generalized Bayes estimator of location under balance-LINEX loss function. At the end, the performance evaluation of the proposed class of estimators is checked through a simulation study.

Keywords: Admissible estimator; Balance-type loss function; Generalized Bayes estimator; Minimax estimator; Shrinkage estimator; Wavelet estimator (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X19303239
Full text for ScienceDirect subscribers only

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:eee:jmvana:v:177:y:2020:i:c:s0047259x19303239

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2019.104583

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().