The problem of estimating of the vector of the linear regression model y = A + E with E approximate to N-p(0, sigma I-2(p)) under quadratic loss function is considered when common variance sigma(2) is unknown. We first find a class of minimax estimators for this problem which extends a class given by Maruyama and Strawderman (2005) and using these estimators, we obtain a large class of (proper and generalized) Bayes minimax estimators and show that the result of Maruyama and Strawderman (2005) is a special case of our result. We also show that under certain conditions, these generalized Bayes minimax estimators have greater numerical stability (i.e., smaller condition number) than the least-squares estimator.
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Department of Statistics Univeristy of California, Los Angeles, 520 Portola Plaza, Los Angeles,CA, United StatesDepartment of Statistics Univeristy of California, Los Angeles, 520 Portola Plaza, Los Angeles,CA, United States
Padilla, Oscar Hernan Madrid
Tansey, Wesley
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Computational Oncology Department of Epidemiology and Biostatistics, 1275 York Avenue, New York,NY,10065, United StatesDepartment of Statistics Univeristy of California, Los Angeles, 520 Portola Plaza, Los Angeles,CA, United States
Tansey, Wesley
Chen, Yanzhen
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Department of Information Systems, Business Statistics and Operations Management Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong KongDepartment of Statistics Univeristy of California, Los Angeles, 520 Portola Plaza, Los Angeles,CA, United States
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Normandie Univ, UNIROUEN, UNIHAVRE, INSA Rouen,LITIS, Ave Univ,BP 12, F-76801 St Etienne Du Rouvray, FranceNormandie Univ, UNIROUEN, UNIHAVRE, INSA Rouen,LITIS, Ave Univ,BP 12, F-76801 St Etienne Du Rouvray, France
Fourdrinier, Dominique
Strawderman, William E.
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Rutgers State Univ, Dept Stat, 561 Hill Ctr,Busch Campus, Piscataway, NJ 08854 USANormandie Univ, UNIROUEN, UNIHAVRE, INSA Rouen,LITIS, Ave Univ,BP 12, F-76801 St Etienne Du Rouvray, France
Strawderman, William E.
Wells, Martin T.
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Cornell Univ, Dept Stat & Data Sci, 1190 Comstock Hall, Ithaca, NY 14853 USANormandie Univ, UNIROUEN, UNIHAVRE, INSA Rouen,LITIS, Ave Univ,BP 12, F-76801 St Etienne Du Rouvray, France
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Dept Stat Univeristy Calif, Angeles 520 Portola Plaza, Los Angeles, CA USADept Stat Univeristy Calif, Angeles 520 Portola Plaza, Los Angeles, CA USA
Padilla, Oscar Hernan Madrid
Tansey, Wesley
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机构:Dept Stat Univeristy Calif, Angeles 520 Portola Plaza, Los Angeles, CA USA
Tansey, Wesley
Chen, Yanzhen
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Dept Informat Syst, Business Stat & Operat Management Hong Kong Univ S, Hong Kong, Peoples R ChinaDept Stat Univeristy Calif, Angeles 520 Portola Plaza, Los Angeles, CA USA
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Cairo Univ, Fac Grad Studies Stat Res, Dept Appl Stat & Econometr, Giza, EgyptCairo Univ, Fac Grad Studies Stat Res, Dept Appl Stat & Econometr, Giza, Egypt
Abonazel, Mohamed R.
Taha, Ibrahim M.
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Sadat Acad Management Sci, Dept Math Stat & Insurance, Tanta Branch, Tanta, EgyptCairo Univ, Fac Grad Studies Stat Res, Dept Appl Stat & Econometr, Giza, Egypt