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Vestnik Tomskogo Gosudarstvennogo Universiteta. Matematika i Mekhanika, 2014, Number 5(31), Pages 40–47
(Mi vtgu414)
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This article is cited in 1 scientific paper (total in 1 paper)
MATHEMATICS
Minimax estimation of the Gaussian parametric regression
V. A. Pchelintseva, E. A. Pchelintsevb a Tomsk Polytechnic University, Tomsk, Russian Federation
b Tomsk State University, Tomsk, Russian Federation
Abstract:
The paper considers the problem of estimating a $d\ge2$ dimensional mean vector of a multivariate normal distribution under quadratic loss. Let the observations be described by the equation
\begin{equation}
Y=\theta+\sigma\xi,
\end{equation}
where $\theta$ is a $d$-dimension vector of unknown parameters from some bounded set $\Theta\subset\mathbb R^d$, $\xi$ is a Gaussian random vector with zero mean and identity covariance matrix $I_d$, i.e. $Law(\xi)=\mathrm N_d(0,I_d)$ and $\sigma$ is a known positive number. The problem is to construct a minimax estimator of the vector $\theta$ from observations $Y$. As a measure of the accuracy of estimator $\hat\theta$ we select the quadratic risk defined as
$$
R(\theta,\hat\theta):=\boldsymbol E_\theta|\theta-\hat\theta|^2,\qquad|x|^2=\sum^d_{j=1}x^2_j,
$$
where $\boldsymbol E_\theta$ is the expectation with respect to measure $\boldsymbol P_\theta$.
We propose a modification of the James–Stein procedure of the form
$$
\theta^*_+=\left(a-\frac c{|Y|}\right)_+Y,
$$
where $c>0$ is a special constant and $a_+=\max(a,0)$ is a positive part of $a$. This estimate allows one to derive an explicit upper bound for the quadratic risk and has a significantly smaller risk than the usual maximum likelihood estimator and the estimator
$$
\theta^*=\left(1-\frac c{|Y|}\right)Y
$$
for the dimensions $d\ge2$. We establish that the proposed procedure $\hat\theta_+$ is minimax estimator for the vector $\theta$.
A numerical comparison of the quadratic risks of the considered procedures is given. In conclusion it is shown that the proposed minimax estimator $\hat\theta_+$ is the best estimator in the mean square sense.
Keywords:
parametric regression, improved estimation, James–Stein procedure, mean squared risk, minimax estimator.
Received: 15.07.2014
Citation:
V. A. Pchelintsev, E. A. Pchelintsev, “Minimax estimation of the Gaussian parametric regression”, Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2014, no. 5(31), 40–47
Linking options:
https://www.mathnet.ru/eng/vtgu414 https://www.mathnet.ru/eng/vtgu/y2014/i5/p40
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