Robust Improvement in Estimation of a Mean Matrix in an Elliptically Contoured Distribution

T. Kubokawa and M. S. Srivastava

Journal of Multivariate Analysis, 2001, vol. 76, issue 1, 138-152

Abstract: In estimation of a matrix of regression coefficients in a multivariate linear regression model, this paper shows that minimax and shrinkage estimators under a normal distribution remain robust under an elliptically contoured distribution. The robustness of the improvement is established for both invariant and noninvariant loss functions in the above model as well as in the growth curve model.

Keywords: elliptically contoured distribution; robustness of improvement; multivariate linear model; growth curve model; regression coefficient matrix; shrinkage estimation; statistical decision theory; point estimation (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (16)

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