An extended class of minimax generalized Bayes estimators of regression coefficients

Details An extended class of minimax generalized Bayes estimators of regression coefficients An extended class of minimax generalized Bayes estimators of regression coefficients

2008-03-09

arxiv.org/abs/0803.1276v1

Journal of Multivariate Analysis, 100 (2009), 2155-2166

Mathematics

Statistics Theory

Scientific paper

10.1016/j.jmva.2009.06.001

We derive minimax generalized Bayes estimators of regression coefficients in
the general linear model with spherically symmetric errors under invariant
quadratic loss for the case of unknown scale. The class of estimators
generalizes the class considered in Maruyama and Strawderman (2005) to include
non-monotone shrinkage functions.

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