IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v76y2006i1p83-92.html
   My bibliography  Save this article

Minimax regret comparison of hard and soft thresholding for estimating a bounded normal mean

Author

Listed:
  • Droge, Bernd

Abstract

We study the problem of estimating the mean of a normal distribution with known variance, when prior knowledge specifies that this mean lies in a bounded interval. The focus is on a minimax regret comparison of soft and hard threshold estimators, which have become very popular in the context of wavelet estimation. Under squared-error loss it turns out that soft thresholding is superior to hard thresholding.

Suggested Citation

  • Droge, Bernd, 2006. "Minimax regret comparison of hard and soft thresholding for estimating a bounded normal mean," Statistics & Probability Letters, Elsevier, vol. 76(1), pages 83-92, January.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:1:p:83-92
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(05)00271-3
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Gatsonis, Constantine & MacGibbon, Brenda & Strawderman, William, 1987. "On the estimation of a restricted normal mean," Statistics & Probability Letters, Elsevier, vol. 6(1), pages 21-30, September.
    2. Droge, Bernd, 2002. "On the minimax regret estimation of a restricted normal mean, and implications," SFB 373 Discussion Papers 2002,81, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Grané, Aurea & Veiga, Helena, 2010. "Outliers in Garch models and the estimation of risk measures," DES - Working Papers. Statistics and Econometrics. WS ws100502, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Stoye, Jörg, 2011. "Axioms for minimax regret choice correspondences," Journal of Economic Theory, Elsevier, vol. 146(6), pages 2226-2251.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Marchand Éric & MacGibbon Brenda, 2000. "Minimax Estimation Of A Constrained Binomial Proportion," Statistics & Risk Modeling, De Gruyter, vol. 18(2), pages 129-168, February.
    2. Somesh Kumar & Yogesh Tripathi, 2008. "Estimating a restricted normal mean," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 68(3), pages 271-288, November.
    3. Hartigan, J. A., 2004. "Uniform priors on convex sets improve risk," Statistics & Probability Letters, Elsevier, vol. 67(4), pages 285-288, May.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:76:y:2006:i:1:p:83-92. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.