Minimaxity of empirical bayes estimators of the means of independent normal variables with unequal variances

DOI10.1080/03610929308831140zbMath0785.62006MaRDI QIDQ4275816

Nobuo Shinozaki, Yuan-Tsung Chang

Publication date: 31 January 1994

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929308831140

zbMATH Keywords

squared error loss function; risk behavior; common prior; Stein estimator; uniform improvement; empirical Bayes estimators; simultaneous estimation of normal means; maximum likelihood approach; Monte Carlo simulation results; weighted sum of squared error loss

Mathematics Subject Classification ID

62C20: Minimax procedures in statistical decision theory

62C12: Empirical decision procedures; empirical Bayes procedures

Related Items

Minimax Empirical Bayes Estimators in Multivariate Mixed Linear Models with Unequal Replications, Minimaxity of empirical bayes estimators shrinking toward the grand mean when variances are unequal, Empirical Bayes regression analysis with many regressors but fewer observations, Dominance properties of constrained Bayes and empirical Bayes estimators, Improved Empirical Bayes Ridge Regression Estimators Under Multicollinearity

Cites Work

• Unnamed Item
• Statistical decision theory and Bayesian analysis. 2nd ed
• Estimation of the mean of a multivariate normal distribution
• Minimax estimators of the mean of a multivariate normal distribution
• Admissible minimax estimation of a multivariate normal mean with arbitrary quadratic loss
• Minimax estimation of a multivariate normal mean under polynomial loss
• Stein estimation: The spherically symmetric case
• Subjective hierarchical Bayes estimation of a multivariate normal mean: On the frequentist interface
• Estimating the Mean of a Multivariate Normal Population with General Quadratic Loss Function