Activity Number:
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370
- A Memorial Session for Arthur Cohen
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Type:
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Invited
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Date/Time:
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Wednesday, August 10, 2022 : 8:30 AM to 10:20 AM
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Sponsor:
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Memorial
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Abstract #320965
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Title:
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On Minimax Shrinkage Estimation with Variable Selection
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Author(s):
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Willliam Edward Strawderman*
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Companies:
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Rutgers University
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Keywords:
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variable selection;
minimaxity;
quadratic loss
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Abstract:
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We study minimax estimators of the mean vector of a spherically symmetric distribution that also perform variable selection by estimating certain components as 0. The basic class of estimators developed is closely related to, and generalizes, classes considered by Zhou and Hwang and Maruyama in the Gaussian setting. The class of distributions studied includes scale mixtures of normals (including Normal and Student-t) as well as the general class of spherically symmetric distributions with a residual vector. Certain subclasses of these estimators based on truncated order statistics are shown to be particularly effective when some information on the sparsity is known.
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Authors who are presenting talks have a * after their name.
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