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On shrinkage estimation of a spherically symmetric distribution for balanced loss functions

Statistics Theory 2021-02-26 v1 Statistics Theory

Abstract

We consider the problem of estimating the mean vector θ\theta of a dd-dimensional spherically symmetric distributed XX based on balanced loss functions of the forms: {\bf (i)} ωρ(\de\de02)+(1ω)ρ(\deθ2)\omega \rho(\|\de-\de_{0}\|^{2}) +(1-\omega)\rho(\|\de - \theta\|^{2}) and {\bf (ii)} (ω\de\de02+(1ω)\deθ2)\ell\left(\omega \|\de - \de_{0}\|^{2} +(1-\omega)\|\de - \theta\|^{2}\right), where δ0\delta_0 is a target estimator, and where ρ\rho and \ell are increasing and concave functions. For d4d\geq 4 and the target estimator δ0(X)=X\delta_0(X)=X, we provide Baranchik-type estimators that dominate δ0(X)=X\delta_0(X)=X and are minimax. The findings represent extensions of those of Marchand \& Strawderman (\cite{ms2020}) in two directions: {\bf (a)} from scale mixture of normals to the spherical class of distributions with Lebesgue densities and {\bf (b)} from completely monotone to concave ρ\rho' and \ell'.

Keywords

Cite

@article{arxiv.2102.13083,
  title  = {On shrinkage estimation of a spherically symmetric distribution for balanced loss functions},
  author = {Lahoucine Hobbad and Éric Marchand and Idir Ouassou},
  journal= {arXiv preprint arXiv:2102.13083},
  year   = {2021}
}