l_p-norm based James-Stein estimation with minimaxity and sparsity
Statistics Theory
2015-05-29 v2 Statistics Theory
Abstract
A new class of minimax Stein-type shrinkage estimators of a multivariate normal mean is studied where the shrinkage factor is based on an l_p norm. The proposed estimators allow some but not all coordinates to be estimated by 0 thereby allow sparsity as well as minimaxity.
Cite
@article{arxiv.1402.0302,
title = {l_p-norm based James-Stein estimation with minimaxity and sparsity},
author = {Yuzo Maruyama},
journal= {arXiv preprint arXiv:1402.0302},
year = {2015}
}
Comments
11 pages, A new section for unknown scale case is added and a minor revision is done