From minimax shrinkage estimation to minimax shrinkage prediction

DOI10.1214/11-STS383zbMath1330.62288arXiv1203.5617OpenAlexW2093512920MaRDI QIDQ2634656

Xinyi Xu, Feng Liang, Edward I. George

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

empirical BayesinadmissibilityBayesian predictionprior distributionsasymptotic minimaxityunbiased estimates of riskmultiple shrinkagesuperharmonic marginals

Mathematics Subject Classification ID

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

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