l_p-norm based James-Stein estimation with minimaxity and sparsity

Published 3 Feb 2014 in math.ST and stat.TH | (1402.0302v2)

Abstract: A new class of minimax Stein-type shrinkage estimators of a multivariate normal mean is studied where the shrinkage factor is based on an l_p norm. The proposed estimators allow some but not all coordinates to be estimated by 0 thereby allow sparsity as well as minimaxity.

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Yuzo Maruyama

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