From minimax shrinkage estimation to minimax shrinkage prediction

DOI10.1214/11-STS383zbMATH Open1330.62288arXiv1203.5617OpenAlexW2093512920MaRDI QIDQ2634656FDOQ2634656

Authors: Edward I. George, Feng Liang, Xinyi Xu 

Publication date: 18 February 2016

Published in: Statistical Science (Search for Journal in Brave)

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.

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

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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)

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Cited In (16)

• Proper Bayes and minimax predictive densities related to estimation of a normal mean matrix
• Minimax multiple shrinkage estimation
• Bayesian predictive distribution for a negative binomial model
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