Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution

This paper deals with the problem of estimating the mean matrix in an elliptically contoured distribution with unknown scale matrix. The Laplace and inverse Laplace transforms of the density allow us not only to evaluate the risk function with respect to a quadratic loss but also to simplify expressions of Bayes estimators. Consequently, it is shown that generalized Bayes estimators against shrinkage priors dominate the unbiased estimator.

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Year of publication:	2010
Authors:	Tsukuma, Hisayuki
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 6, p. 1483-1492
Publisher:	Elsevier
Keywords:	Decision theory Hierarchical model The Laplace transformation Minimaxity Multivariate linear model Quadratic loss Scale mixture Shrinkage estimator

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008488055