An extended class of minimax generalized Bayes estimators of regression coefficients

Authors:
Yuzo Maruyama;William E. Strawderman
Affiliations:
University of Tokyo, Japan;Rutgers University, United States
Venue:
Journal of Multivariate Analysis
Year:
2009

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Abstract

We derive minimax generalized Bayes estimators of regression coefficients in the general linear model with spherically symmetric errors under invariant quadratic loss for the case of unknown scale. The class of estimators generalizes the class considered in Maruyama and Strawderman [Y. Maruyama, W.E. Strawderman, A new class of generalized Bayes minimax ridge regression estimators, Ann. Statist., 33 (2005) 1753-1770] to include non-monotone shrinkage functions.