From minimax shrinkage estimation to minimax shrinkage prediction

DOI10.1214/11-STS383MaRDI QIDQ2634656zbMATHOpenAlexFDO

Authors Edward I. George, Feng Liang, Xinyi Xu

Publication date 18 February 2016

Published in Statistical Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.5617

zbMATH Keywords

prior distributionsempirical Bayesmultiple shrinkageBayesian predictioninadmissibilityasymptotic minimaxityunbiased estimates of risksuperharmonic marginals

Mathematics Subject Classification ID

Density estimation (62G07) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian problems; characterization of Bayes procedures (62C10) Empirical decision procedures; empirical Bayes procedures (62C12) Minimax procedures in statistical decision theory (62C20)

Abstract: In a remarkable series of papers beginning in 1956, Charles Stein set the stage for the future development of minimax shrinkage estimators of a multivariate normal mean under quadratic loss. More recently, parallel developments have seen the emergence of minimax shrinkage estimators of multivariate normal predictive densities under Kullback--Leibler risk. We here describe these parallels emphasizing the focus on Bayes procedures and the derivation of the superharmonic conditions for minimaxity as well as further developments of new minimax shrinkage predictive density estimators including multiple shrinkage estimators, empirical Bayes estimators, normal linear model regression estimators and nonparametric regression estimators.

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Cited in

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