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Admissible Bayes equivariant estimation of location vectors for spherically symmetric distributions with unknown scale. (arXiv:1710.02794v1 [math.ST])
来源于:arXiv
This paper investigates estimation of the mean vector under invariant
quadratic loss for a spherically symmetric location family with a residual
vector with density of the form $
f(x,u)=\eta^{(p+n)/2}f(\eta\{\|x-\theta\|^2+\|u\|^2\}) $, where $\eta$ is
unknown. We show that the natural estimator $x$ is admissible for $p=1,2$.
Also, for $p\geq 3$, we find classes of generalized Bayes estimators that are
admissible within the class of equivariant estimators of the form
$\{1-\xi(x/\|u\|)\}x$. In the Gaussian case, a variant of the James--Stein
estimator, $[1-\{(p-2)/(n+2)\}/\{\|x\|^2/\|u\|^2+(p-2)/(n+2)+1\}]x$, which
dominates the natural estimator $x$, is also admissible within this class. We
also study the related regression model. 查看全文>>