On Improved Shrinkage Estimators for Concave Loss

Tatsuya Kubokawa, Éric Marchand and William E. Strawderman
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Tatsuya Kubokawa: Faculty of Economics, The University of Tokyo
Éric Marchand: Université de Sherbrooke, Departement de mathématiques
William E. Strawderman: Rutgers University, Department of Statistics and Biostatistics,

No CIRJE-F-936, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: We consider minimax shrinkage estimation of a location vector of a spherically symmetric distribution under a loss function which is a concave function of the usual squared error loss. In particular for distributions which are scale mixtures of normals (and somewhat more generally), and for concave loss functions whose derivatives are completely monotone (and somewhat more generally), we give classes of minimax shrinkage estimators where the shrinkage constants are larger than those currently in the literature.

Pages: 11 pages
Date: 2014-07
New Economics Papers: this item is included in nep-ecm
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