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- W2088408934 abstract "Given a general statistical model and an arbitrary quadratic loss, we propose a lower bound for the associated risk of a class of shrinkage estimators. With respect to the considered class of shrinkage estimators, this bound is optimal.In the particular case of the estimation of the location parameter of an ellipti-cally symmetric distribution, this bound can be used to find the relative improvement brought by a given estimator and the remaining possible improvement, using a Monte-Carlo method. We deduce from these results a new type of shrinkage estimators whose risk can be as close as one wants of the lower bound near a chosen pole and yet remain bounded. Some of them are good alternatives to the positive-part James-Stein estimator." @default.
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- W2088408934 date "1989-01-01" @default.
- W2088408934 modified "2023-09-24" @default.
- W2088408934 title "A lower bound for the risk of classes of shrinkage estimators ina general multivariate estimation problem and some deduced estimators" @default.
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- W2088408934 doi "https://doi.org/10.1080/03610928908830036" @default.
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