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Minimax estimators that shift towards a hypersphere for location vectors of spherically symmetric distributions
Authors:M.E Bock
Affiliation:Purdue University USA
Abstract:Let X be a p-dimensional random vector with density f(6X?θ6) where θ is an unknown location vector. For p ≥ 3, conditions on f are given for which there exist minimax estimators θ?(X) satisfying 6Xt6 · 6θ?(X) ? X6 ≤ C, where C is a known constant depending on f. (The positive part estimator is among them.) The loss function is a nondecreasing concave function of 6θ?? θ62. If θ is assumed likely to lie in a ball in Rp, then minimax estimators are given which shrink from the observation X outside the ball in the direction of P(X) the closest point on the surface of the ball. The amount of shrinkage depends on the distance of X from the ball.
Keywords:62C99  62F10  62H99  minimal estimation  spherically symmetric  multivariate  shrinkage estimator  location vector  positive part estimator
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