An extended class of minimax generalized Bayes estimators of regression coefficients

JOURNAL OF MULTIVARIATE ANALYSIS

卷:100

Article

Maruyama, Yuzo¹  Strawderman, William E.² 

[1] Univ Tokyo, Ctr Spatial Informat Sci, Tokyo 1130033, Japan

[2] Rutgers State Univ, Piscataway, NJ 08855 USA

关键词: Regression;    Minimaxity;    Shrinkage estimators;    Generalized Bayes estimators;    Invariant loss;    Unknown variance;    Hypergeometric function;   

DOI  :  10.1016/j.jmva.2009.06.001

来源: Elsevier

【 摘 要 】

We derive minimax generalized Bayes estimators of regression coefficients in the general linear model with spherically symmetric errors under invariant quadratic loss for the case of unknown scale. The class of estimators generalizes the class considered in Maruyama and Strawderman [Y. Maruyama, W.E. Strawderman, A new class of generalized Bayes minimax ridge regression estimators, Ann. Statist., 33 (2005) 1753-1770] to include non-monotone shrinkage functions. (C) 2009 Elsevier Inc. All rights reserved.

【 授权许可】

Free