The risk of pretest and shrinkage estimators. (English) Zbl 1241.62095
Summary: We establish the risk function of a class of estimators for the mean parameter matrix of a matrix variate normal distribution. In particular, the established result is useful in evaluating the performance of a class of shrinkage-pretest-type estimators.
MSC:
| 62H12 | Estimation in multivariate analysis |
References:
| [1] | Judge G. G., The Statistical Implication of Pre-test and Stein-Rule Estimators in Econometrics (1978) · Zbl 0395.62078 |
| [2] | DOI: 10.1002/0471773751 · Zbl 1094.62024 · doi:10.1002/0471773751 |
| [3] | Nkurunziza S., ESAIM Probab. Stat. (2010) |
| [4] | DOI: 10.1016/0167-7152(95)00138-7 · Zbl 0854.62055 · doi:10.1016/0167-7152(95)00138-7 |
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