For a continuous and diagonally symmetric multivariate distribution, incorporating the idea of preliminary test estimators, a variant form of the James-Stein type estimation rule is used to formulate some shrinkage estimators of location based on rank statistics and $U$-statistics. In an asymptotic setup, the relative risks for these shrinkage estimators are shown to be smaller than their classical counterparts.
Publié le : 1985-03-14
Classification:
Asymptotic risk,
James-Stein rule,
local alternatives,
preliminary test estimator,
rank estimator,
robustness,
shrinkage estimates,
$U$-statistics,
62C15,
62G05,
62G99
@article{1176346592,
author = {Sen, Pranab Kumar and Saleh, A.K.MD. Ehsanes},
title = {On Some Shrinkage Estimators of Multivariate Location},
journal = {Ann. Statist.},
volume = {13},
number = {1},
year = {1985},
pages = { 272-281},
language = {en},
url = {http://dml.mathdoc.fr/item/1176346592}
}
Sen, Pranab Kumar; Saleh, A.K.MD. Ehsanes. On Some Shrinkage Estimators of Multivariate Location. Ann. Statist., Tome 13 (1985) no. 1, pp. 272-281. http://gdmltest.u-ga.fr/item/1176346592/