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In this article, the Stein-Haff identity is established for a singular Wishart distribution with a positive definite mean matrix but with the dimension larger than the degrees of freedom.
Srivastava, Muni S., Kubokawa, Tatsuya
core
Estimation, prediction and the Stein phenomenon under divergence loss
We consider two problems: (1) estimate a normal mean under a general divergence loss introduced in [S. Amari, Differential geometry of curved exponential families -- curvatures and information loss, Ann. Statist. 10 (1982) 357-387] and [N. Cressie, T.R.C.
Datta, Gauri Sankar +2 more
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Multiperiod Maximum Loss is time unit invariant. [PDF]
Springerplus, 2016 Kovacevic RM, Breuer T.
europepmc +1 more source
I-LAMM FOR SPARSE LEARNING: SIMULTANEOUS CONTROL OF ALGORITHMIC COMPLEXITY AND STATISTICAL ERROR. [PDF]
Ann Stat, 2018 Fan J, Liu H, Sun Q, Zhang T.
europepmc +1 more source
EXACT MINIMAX ESTIMATION OF THE PREDICTIVE DENSITY IN SPARSE GAUSSIAN MODELS. [PDF]
Ann Stat, 2015 Mukherjee G, Johnstone IM.
europepmc +1 more source
REINFORCEMENT LEARNING FOR INDIVIDUAL OPTIMAL POLICY FROM HETEROGENEOUS DATA. [PDF]
Ann StatMiao BR, Shahbaba B, Qu A.
europepmc +1 more source
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Simultaneous analysis of Lasso and Dantzig selector
Annals of Statistics, 2009Peter J Bickel +2 more
exaly
Minimax Estimation of the Mean of a General Distribution when the Parameter Space is Restricted
Annals of Statistics, 1987Avraham A Melkman, Ya'Acov Ritov
exaly
Information-theoretic determination of minimax rates of convergence
Annals of Statistics, 1999Yuhong Yang, Andrew Barron
exaly
On the concentration of measure phenomenon for stable and related random vectors
Annals of Probability, 2004Christian Houdré, Philippe Marchal
exaly