Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution

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Abstract

This paper deals with the problem of estimating the mean matrix in an elliptically contoured distribution with unknown scale matrix. The Laplace and inverse Laplace transforms of the density allow us not only to evaluate the risk function with respect to a quadratic loss but also to simplify expressions of Bayes estimators. Consequently, it is shown that generalized Bayes estimators against shrinkage priors dominate the unbiased estimator. © 2010 Elsevier Inc. All rights reserved.

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Tsukuma, H. (2010). Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution. Journal of Multivariate Analysis, 101(6), 1483–1492. https://doi.org/10.1016/j.jmva.2010.02.004

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