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Methods for Improvement in Estimation of a Normal Mean Matrix
http://hdl.handle.net/2261/2653
http://hdl.handle.net/2261/26532844bcc5-46c1-4bdf-b4e1-b0ef2e31a952
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-06-03 | |||||
| タイトル | ||||||
| タイトル | Methods for Improvement in Estimation of a Normal Mean Matrix | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Decision theory | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | empirical Bayes estimator | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | James-Stein estimator | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | MANOVA model | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | minimaxity | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Tsukuma, Hisayuki
× Tsukuma, Hisayuki× Kubokawa, Tatsuya |
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| 著者所属 | ||||||
| 著者所属 | University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | This paper is concerned with the problem of estimating a matrix of means in multivariate normal distributions with an unknown covariance matrix under the quadratic loss function. It is first shown that the modified Efron-Morris estimator is characterized as certain empirical Bayes estimator. This estimator modifies the crude Efron-Morris estimator by adding a scalar shrinkage term. It is next shown that the idea of this modification provides the general method for improvement of estimators, which results in the further improvement of several minimax estimators including the Stein, Dey and Haff estimators. As a new method for improvement, a random combination of the modified Stein and the James-Stein estimators is also proposed and is shown to be minimax. Through Monte Carlo studies for the risk behaviors, it is numerically shown that the proposed, combined estimator inherits the nice risk properties of both individual estimators and thus it has a very favorable risk behavior in a small sample case. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-378, 発行日 2005-09 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 330 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2005/2005cf378ab.html | |||||
