Bayesian input in Stein estimation and a new minimax empirical Bayes estimator

DOI10.1016/0304-4076(84)90039-3MaRDI QIDQ1063963zbMATH OpenOpenAlexWikidataFDO

Authors James O. Berger, L. Mark Berliner

Publication date 1984

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(84)90039-3

zbMATH Keywords

contamination class of priorsempirical Bayesgamma-minimax analysisnew empirical Bayes Stein-type estimatorrestricted class BayesianStein estimation of a multivariate normal meantype II maximum likelihood

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Empirical decision procedures; empirical Bayes procedures (62C12) Minimax procedures in statistical decision theory (62C20) Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Applications of statistics to economics (62P20)

Review text

The relationship between Stein estimation of a multivariate normal mean and Bayesian analysis is considered. The necessity to involve prior information is discussed, and the various methods of so doing are reviewed. These include direct Bayesian analyses, ad hoc utilization of prior information, restricted class Bayesian and \(\Gamma\)-minimax analyses, and type II maximum likelihood (empirical Bayes) methods. A new empirical Bayes Stein-type estimator is developed, via the latter method, for an interesting \(\epsilon\)-contamination class of priors, and is shown to be minimax under reasonable conditions. The minimax proof contains some novel theoretical features.

Recommendations

• Stein's idea and minimax admissible estimation of a multivariate normal mean
• On the construction of Bayes minimax estimators
• Sur les estimateurs de Bayes minimax: une méthode constructive
• scientific article; zbMATH DE number 4098490
• Bayes minimax estimators of a multivariate normal mean

Cites work

• A Critique of Some Ridge Regression Methods
• A robust generalized Bayes estimator and confidence region for a multivariate normal mean
• Admissible minimax estimation of a multivariate normal mean with arbitrary quadratic loss
• Approximated Bayes and empirical Bayes confidence intervals - the known variance case
• Bayesian analysis of a three-component hierarchical design model
• Bayesian Robustness and the Stein Effect
• Estimating the Mean of a Multivariate Normal Population with General Quadratic Loss Function
• Estimation of the mean of a multivariate normal distribution
• Estimation with quadratic loss.
• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
• scientific article; zbMATH DE number 3930141 (Why is no real title available?)
• scientific article; zbMATH DE number 3938217 (Why is no real title available?)
• scientific article; zbMATH DE number 3951774 (Why is no real title available?)
• scientific article; zbMATH DE number 3965158 (Why is no real title available?)
• scientific article; zbMATH DE number 4098490 (Why is no real title available?)
• scientific article; zbMATH DE number 3733041 (Why is no real title available?)
• scientific article; zbMATH DE number 3744323 (Why is no real title available?)
• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• scientific article; zbMATH DE number 2166302 (Why is no real title available?)
• scientific article; zbMATH DE number 3270307 (Why is no real title available?)
• scientific article; zbMATH DE number 3390151 (Why is no real title available?)
• Limiting the Risk of Bayes and Empirical Bayes Estimators--Part I: The Bayes Case
• Limiting the Risk of Bayes and Empirical Bayes Estimators--Part II: The Empirical Bayes Case
• Minimax confidence sets for the mean of a multivariate normal distribution
• Minimax estimators that shift towards a hypersphere for location vectors of spherically symmetric distributions
• Parametric Empirical Bayes Inference: Theory and Applications
• Proper Bayes Minimax Estimators of the Multivariate Normal Mean
• Robust Bayes and empirical Bayes analysis with -contaminated priors
• Selecting a minimax estimator of a multivariate normal mean
• Statistical decision theory. Foundations, concepts, and methods
• Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
• The use of Previous Experience in Reaching Statistical Decisions

Cited in

(14)

• Robust linear static panel data models using -contamination
• Robust Bayesian analysis: sensitivity to the prior
• Robust Bayesian analysis of the linear regression model
• Robust Bayesian analysis of a multivariate dynamic model
• Characterization of Priors in the Stein Problem
• The stein effect and bayesian analysis: a reexamination
• scientific article; zbMATH DE number 4098490 (Why is no real title available?)
• An Empirical Bayes Stein-Type Estimator for Regression Parameters Under Linear Constraints
• Constructing estimators of a mean vector through orthogonal reparametrization and differential equations
• A formal bayes multiple shrinkage estimator
• On two-stage bayes confidence intervals for a normal mean and an asymptotic minimax
• Robust Bayesian estimation of cumulative incidence function for competing risk data with missing causes
• Robust estimation with variational Bayes in presence of competing risks
• An adaptive empirical Bayes estimator of the multivariate normal mean under quadratic loss

This page was built for publication: Bayesian input in Stein estimation and a new minimax empirical Bayes estimator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1063963)