Generalized Bayes minimax estimators of location vectors for spherically symmetric distributions
Let X~f([short parallel]x-[theta][short parallel]2) and let [delta][pi](X) be the generalized Bayes estimator of [theta] with respect to a spherically symmetric prior, [pi]([short parallel][theta][short parallel]2), for loss [short parallel][delta]-[theta][short parallel]2. We show that if [pi](t) is superharmonic, non-increasing, and has a non-decreasing Laplacian, then the generalized Bayes estimator is minimax and dominates the usual minimax estimator [delta]0(X)=X under certain conditions on . The class of priors includes priors of the form for and hence includes the fundamental harmonic prior . The class of sampling distributions includes certain variance mixtures of normals and other functions f(t) of the form e-[alpha]t[beta] and e-[alpha]t+[beta][phi](t) which are not mixtures of normals. The proofs do not rely on boundness or monotonicity of the function r(t) in the representation of the Bayes estimator as .
Year of publication: |
2008
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Authors: | Fourdrinier, Dominique ; Strawderman, William E. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 99.2008, 4, p. 735-750
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Publisher: |
Elsevier |
Keywords: | Minimax estimators Bayes estimators Quadratic loss Spherically symmetric distributions Location parameter Superharmonic priors |
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