Using empirical partially Bayes inference for increased efficiency

DOI10.1214/AOS/1176349646MaRDI QIDQ1081237zbMATH OpenOpenAlexFDO

Authors Bruce G. Lindsay

Publication date 1985

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176349646

zbMATH Keywords

asymptotically unbiasedconsistencyefficiencyempirical partially Bayes methodsJames-Stein effectJames-Stein estimatorsJames-Stein shrinkagemaximum likelihoodnuisance parametersscore functionstructural parameter

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15)

Review text

The author shows how empirical partially Bayes methods can be utilized as a means for improving the efficiency of an estimator of the structural parameter in a class of problems in which the number of nuisance parameters increases to infinity. It is proposed to estimate the structural parameter in an asymptotically unbiased way and apply James- Stein shrinkage to the nuisance parameter estimators. It is shown that when the shrinkage estimators are carefully chosen, this yields estimators generally more efficient than the maximum likelihood one.

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Cited in

(19)

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• Optimal estimation for semimartingale neuronal models
• Exponential posterior consistency via generalized Pólya urn schemes in finite semiparametric mixtures
• Modeling financial durations using penalized estimating functions
• Exact and efficient inference for partial Bayes problems
• Efficient maximum likelihood estimation in semiparametric mixture models
• Nonparametric estimation for some nonlinear models
• Some perspectives on inference in high dimensions
• High dimensional nuisance parameters: an example from parametric survival analysis
• Generalized duration models and optimal estimation using estimating functions
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Empirical Bayes and conditional inference with many nuisance parameters
• Nonparametric estimating equations based on a penalized information criterion
• Joint Models for a Primary Endpoint and Multiple Longitudinal Covariate Processes
• Comments on: Dynamic relations for sparsely sampled Gaussian processes
• On partial likelihood and the construction of factorisable transformations
• Joint estimation using quadratic estimating function
• Nonlinear recursive estimation of volatility via estimating functions
• Empirical partially Bayes multiple testing and compound ^2 decisions

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