Empirical estimates for heteroscedastic hierarchical dynamic normal models

DOI10.1007/S42952-020-00093-2zbMATH Open1484.62095OpenAlexW3105019246MaRDI QIDQ2132005FDOQ2132005

Authors: S. K. Ghoreishi, Jingjing Wu 

Publication date: 27 April 2022

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42952-020-00093-2

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zbMATH Keywords

heteroscedasticityshrinkage estimatorsdynamic modelsasymptotic optimalityStein's unbiased risk estimator (SURE)

Mathematics Subject Classification ID

Bayesian inference (62F15) Ridge regression; shrinkage estimators (Lasso) (62J07) Empirical decision procedures; empirical Bayes procedures (62C12)

Cites Work

• The value of multiproxy reconstruction of past climate
• Nonparametric empirical Bayes and compound decision approaches to estimation of a high-dimensional vector of normal means
• Dirichlet-Laplace priors for optimal shrinkage
• Prior distributions for variance parameters in hierarchical models (Comment on article by Browne and Draper)
• Estimation with quadratic loss.
• Title not available (Why is that?)
• Asymptotic optimality of \(C_ L\) and generalized cross-validation in ridge regression with application to spline smoothing
• Choice of hierarchical priors: Admissibility in estimation of normal means
• In-season prediction of batting averages: a field test of empirical Bayes and Bayes methodol\-ogies
• SURE Estimates for a Heteroscedastic Hierarchical Model
• Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
• On SURE estimates in hierarchical models assuming heteroscedasticity for both levels of a two-level normal hierarchical model
• Reconstructing past temperatures from natural proxies and estimated climate forcings using short- and long-memory models

Cited In (3)

• SURE Estimates for a Heteroscedastic Hierarchical Model
• Semiparametric hierarchical model with heteroscedasticity
• On SURE estimates in hierarchical models assuming heteroscedasticity for both levels of a two-level normal hierarchical model

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