Hierarchical empirical Bayes estimation of two sample means under divergence loss

DOI10.1007/S13171-018-0155-5MaRDI QIDQ2316969zbMATH OpenOpenAlexFDO

Authors Malay Ghosh, Tatsuya Kubokawa

Publication date 7 August 2019

Published in Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13171-018-0155-5

zbMATH Keywords

dominance propertyHellinger divergenceKullback-Leibler divergenceminimaxityrisk functionshrinkage estimatorsimultaneous estimationStein phenomenon

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12) Minimax procedures in statistical decision theory (62C20) Density estimation (62G07)

Review text

The paper deals with simultaneous estimation of two mean vectors when one suspects that the two are equal. The results are obtained using a general divergence loss, which measures the distance between two densities rather than the distance between two parameters, and thus is more intrinsic in nature. The paper proposes hierarchical empirical Bayes estimators in contrast to preliminary test estimators, and can provide dominance over the individual means.

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Cites work

• A shrinkage predictive distribution for multivariate normal observables
• Differential geometry of curved exponential families. Curvatures and information loss
• Empirical and hierarchical Bayes competitors of preliminary test estimators in two sample problems
• Estimation of the mean of a multivariate normal distribution
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• Families of minimax estimators of the mean of a multivariate normal distribution
• scientific article; zbMATH DE number 3173999 (Why is no real title available?)
• scientific article; zbMATH DE number 3911472 (Why is no real title available?)
• Improved minimax predictive densities under Kullback-Leibler loss
• On the Stein phenomenon under divergence loss and an unknown variance-covariance matrix

Cited in

(5)

• Bayesian simultaneous estimation for means in \(k\)-sample problems
• Simultaneous estimation of a mean vector based on mean conjugate priors
• Simultaneous estimation of gamma means using a hierarchical generalized linear model
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• Hierarchical Bayes versus empirical Bayes density predictors under general divergence loss

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