Name
Title | ||
|---|---|---|
Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution |
Abstract | ||
|---|---|---|
This paper deals with the problem of estimating the mean matrix in an elliptically contoured distribution with unknown scale matrix. The Laplace and inverse Laplace transforms of the density allow us not only to evaluate the risk function with respect to a quadratic loss but also to simplify expressions of Bayes estimators. Consequently, it is shown that generalized Bayes estimators against shrinkage priors dominate the unbiased estimator. |
Year | DOI | Venue |
|---|---|---|
2010 | 10.1016/j.jmva.2010.02.004 | J. Multivariate Analysis |
Keywords | Field | DocType |
shrinkage prior,secondary,bayesian estimation,62f10,shrinkage estimator,primary,62c10,decision theory,mean matrix,paper deal,unknown scale matrix,elliptically contoured distribution,quadratic loss,minimaxity,hierarchical model,inverse laplace,62c20,generalized bayes estimator,scale mixture,62j07,bayes estimator,multivariate linear model,the laplace transformation,risk function,inverse laplace transform,laplace transform,unbiased estimator | Density estimation,Econometrics,Shrinkage estimator,Bias of an estimator,Statistics,Prior probability,Bayes estimator,Inverse Laplace transform,Mathematics,Estimator,Bayes' theorem | Journal |
Volume | Issue | ISSN |
101 | 6 | Journal of Multivariate Analysis |
Citations | PageRank | References |
0 | 0.34 | 1 |
Authors | ||
1 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Hisayuki Tsukuma | 1 | 8 | 4.66 |