General maximum likelihood empirical Bayes estimation of normal means

DOI10.1214/08-AOS638zbMATH Open1168.62005arXiv0908.1709OpenAlexW2129297925WikidataQ107392506 ScholiaQ107392506MaRDI QIDQ2388976FDOQ2388976

Authors: Wenhua Jiang, Cun-Hui Zhang 

Publication date: 22 July 2009

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

Abstract: We propose a general maximum likelihood empirical Bayes (GMLEB) method for the estimation of a mean vector based on observations with i.i.d. normal errors. We prove that under mild moment conditions on the unknown means, the average mean squared error (MSE) of the GMLEB is within an infinitesimal fraction of the minimum average MSE among all separable estimators which use a single deterministic estimating function on individual observations, provided that the risk is of greater order than $(logn{)}^5/n$. We also prove that the GMLEB is uniformly approximately minimax in regular and weak $el{l}_p$ balls when the order of the length-normalized norm of the unknown means is between $(logn{)}^{kapp{a}_1}/n^{1/(pwedge2)}$ and $n/(logn{)}^{kapp{a}_2}$. Simulation experiments demonstrate that the GMLEB outperforms the James--Stein and several state-of-the-art threshold estimators in a wide range of settings without much down side.

Full work available at URL: https://arxiv.org/abs/0908.1709

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zbMATH Keywords

empirical Bayesadaptive estimationwhite noiseshrinkage estimatorthreshold estimatorcompound estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12) Empirical decision procedures; empirical Bayes procedures (62C12)

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