On SURE estimates in hierarchical models assuming heteroscedasticity for both levels of a two-level normal hierarchical model

DOI10.1016/J.JMVA.2014.08.001MaRDI QIDQ458639zbMATH OpenOpenAlexFDO

Authors S. K. Ghoreishi, M. R. Meshkani

Publication date 8 October 2014

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2014.08.001

zbMATH Keywords

heteroscedasticityshrinkage estimatorsasymptotic optimalityStein's unbiased risk estimate (SURE)

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Ridge regression; shrinkage estimators (Lasso) (62J07) Empirical decision procedures; empirical Bayes procedures (62C12)

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Cites work

• scientific article; zbMATH DE number 1547349 (Why is no real title available?)
• scientific article; zbMATH DE number 3205757 (Why is no real title available?)
• Asymptotic optimality of \(C_ L\) and generalized cross-validation in ridge regression with application to spline smoothing
• Choice of hierarchical priors: Admissibility in estimation of normal means
• Estimation with quadratic loss.
• In-season prediction of batting averages: a field test of empirical Bayes and Bayes methodol\-ogies
• Nonparametric empirical Bayes and compound decision approaches to estimation of a high-dimensional vector of normal means
• SURE Estimates for a Heteroscedastic Hierarchical Model

Cited in

(4)

• SURE Estimates for a Heteroscedastic Hierarchical Model
• Empirical estimates for heteroscedastic hierarchical dynamic normal models
• Bayesian analysis of restricted penalized empirical likelihood
• Risk estimators for choosing regularization parameters in ill-posed problems -- properties and limitations

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