An extended class of minimax generalized Bayes estimators of regression coefficients |
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Authors: | Yuzo Maruyama William E Strawderman |
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Institution: | aUniversity of Tokyo, Japan;bRutgers University, United States |
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Abstract: | 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. |
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Keywords: | Regression Minimaxity Shrinkage estimators Generalized Bayes estimators Invariant loss Unknown variance Hypergeometric function |
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