The risk of pretest and shrinkage estimators

被引：13
|
作者：
Nkurunziza, Severien [1 ]
机构：
[1] Univ Windsor, Dept Math & Stat, Windsor, ON N9B 3P4, Canada
来源：
STATISTICS | 2012年 / 46卷 / 03期
基金：
加拿大自然科学与工程研究理事会;
关键词：
shrinkage estimator; risk function; MLE; matrix variate normal;
D O I：
10.1080/02331888.2010.508561
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we establish the risk function of a class of estimator for the mean parameter matrix of a matrix variate normal distribution. In particular, the established result is useful in evaluating the performance of a class of shrinkage-pretest-type estimators.
引用
收藏
页码：305 / 312
页数：8
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