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A Paradox Concerning Shrinkage Estimators: Should a Known Scale Parameter Be Replaced by an Estimated Value in the Shrinkage Factor?

Author

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  • Fourdrinier, Dominique
  • Strawderman, William E.

Abstract

When estimating, under quadratic loss, the location parameter[theta]of a spherically symmetric distribution with known scale parameter, we show that it may be that the common practice of utilizing the residual vector as an estimate of the variance is preferable to using the known value of the variance. In the context of Stein-like shrinkage estimators, we exhibit sufficient conditions on the spherical distributions for which this paradox occurs. In particular, we show that it occurs fort-distributions when the dimension of the residual vector is sufficiently large. The main tools in the development are upper and lower bounds on the risks of the James-Stein estimators which are exact at[theta]=0.

Suggested Citation

  • Fourdrinier, Dominique & Strawderman, William E., 1996. "A Paradox Concerning Shrinkage Estimators: Should a Known Scale Parameter Be Replaced by an Estimated Value in the Shrinkage Factor?," Journal of Multivariate Analysis, Elsevier, vol. 59(2), pages 109-140, November.
    • Handle: RePEc:eee:jmvana:v:59:y:1996:i:2:p:109-140
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    Citations

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    Cited by:

    1. E. A. Pchelintsev & S. M. Pergamenshchikov, 2018. "Oracle inequalities for the stochastic differential equations," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 469-483, July.
    2. Evgeny Pchelintsev & Serguei Pergamenshchikov & Maria Leshchinskaya, 2022. "Improved estimation method for high dimension semimartingale regression models based on discrete data," Statistical Inference for Stochastic Processes, Springer, vol. 25(3), pages 537-576, October.
    3. Dominique Fourdrinier & William Strawderman, 2015. "Robust minimax Stein estimation under invariant data-based loss for spherically and elliptically symmetric distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(4), pages 461-484, May.
    4. Jurečková Jana & Sen P. K., 2006. "Robust multivariate location estimation, admissibility, and shrinkage phenomenon," Statistics & Risk Modeling, De Gruyter, vol. 24(2), pages 273-290, December.
    5. Ouassou, Idir & Strawderman, William E., 2002. "Estimation of a parameter vector restricted to a cone," Statistics & Probability Letters, Elsevier, vol. 56(2), pages 121-129, January.
    6. D. Fourdrinier & S. Pergamenshchikov, 2007. "Improved Model Selection Method for a Regression Function with Dependent Noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(3), pages 435-464, September.
    7. Evgeny Pchelintsev, 2013. "Improved estimation in a non-Gaussian parametric regression," Statistical Inference for Stochastic Processes, Springer, vol. 16(1), pages 15-28, April.

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