Empirical estimates for heteroscedastic hierarchical dynamic normal models

DOI10.1007/S42952-020-00093-2MaRDI QIDQ2132005zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3205757 (Why is no real title available?)
• 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
• Dirichlet-Laplace priors for optimal shrinkage
• Estimation with quadratic loss.
• In-season prediction of batting averages: a field test of empirical Bayes and Bayes methodol\-ogies
• Nonparametric empirical Bayes and compound decision approaches to estimation of a high-dimensional vector of normal means
• On SURE estimates in hierarchical models assuming heteroscedasticity for both levels of a two-level normal hierarchical model
• Prior distributions for variance parameters in hierarchical models (Comment on article by Browne and Draper)
• Reconstructing past temperatures from natural proxies and estimated climate forcings using short- and long-memory models
• SURE Estimates for a Heteroscedastic Hierarchical Model
• Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
• The value of multiproxy reconstruction of past climate

Cited in

(3)

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

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