Shrinkage Estimators under Spherical Symmetry for the General Linear Model

D. Cellier and D. Fourdrinier

Journal of Multivariate Analysis, 1995, vol. 52, issue 2, 338-351

Abstract: This paper is primarily concerned with extending the results of Brandwein and Strawderman in the usual canonical setting of a general linear model when sampling from a spherically symmetric distribution. When the location parameter belongs to a proper linear subspace of the sampling space, we give an unbiased estimator of the difference of the risks between the least squares estimator [phi]0 and a general shrinkage estimator [phi] = [phi]0 - [short parallel]X - [phi]0 [short parallel]2 · g o [phi]0. We obtain a general condition of domination for [phi] over [phi]0 which is weaker than that of Brandwein and Strawderman. We do not need any superharmonicity condition on g. Our results are valid for general quadratic loss.

Date: 1995
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