On Bayesian Wavelet Shrinkage Estimation of Elliptical DistributionBased on Asymmetric Loss Function

The problem of estimating the value of a parameter is basic in statistics science. Different procedures to solve this problem have been proposed by researchers such as maximum likelihood, Bayesian approach, shrinkage wavelet and etc. In this paper, the estimation of p-dimensional location parameter for p-variate elliptical distributions under an asymmetric loss function is investigated. We find the generalized Bayes estimator of location parameter for elliptical distributions and introduce new shrinkage soft-wavelet threshold estimator based on Huang shrinkage wavelet estimator for elliptical distributions under the LINEX loss function. At the end, we present a simulation study to test the validity of the class of proposed estimator.