Robust shrinkage estimation for elliptic
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Dominique Fourdrinier; William E. Strawderman; Martin T. Wells
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Article
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2003
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Elsevier Science
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English
⚖ 198 KB
Let X ; V 1 ; y; V nÀ1 be n random vectors in R p with joint density of the form where both y and S are unknown. We consider the problem of the estimation of y with the invariant loss ðd À yÞ 0 S À1 ðd À yÞ and propose estimators which dominate the usual estimator d 0 ðX Þ ¼ X simultaneously for th