On improved shrinkage estimators for concave loss

We consider minimax shrinkage estimation of location for spherically symmetric distributions under a concave function of the usual squared error loss. Scale mixtures of normal distributions and losses with completely monotone derivatives are featured.

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Year of publication:	2015
Authors:	Kubokawa, Tatsuya ; Marchand, Éric ; Strawderman, William E.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 96.2015, C, p. 241-246
Publisher:	Elsevier
Subject:	Location parameters \| Minimaxity \| Stein estimation \| Concave loss

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011115931