Asymptotic efficiency of simple decisions for the compound decision problem

zbMath1271.62022arXiv0802.1319MaRDI QIDQ2845930

Eitan Greenshtein, Ya'acov Ritov

Publication date: 3 September 2013

Full work available at URL: https://arxiv.org/abs/0802.1319

zbMATH Keywords

permutation-invariant rulessimple decision rules

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Compound decision problems in statistical decision theory (62C25)

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Nonparametric empirical Bayes and compound decision approaches to estimation of a high-dimensional vector of normal means ⋮ A Regression Modeling Approach to Structured Shrinkage Estimation ⋮ Simultaneous estimation of normal means with side information ⋮ No need for an oracle: the nonparametric maximum likelihood decision in the compound decision problem is minimax ⋮ Comment: Empirical Bayes, compound decisions and exchangeability ⋮ Unnamed Item

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