A formal bayes multiple shrinkage estimator

DOI10.1080/03610928608829237zbMATH Open0613.62064OpenAlexW2052143291MaRDI QIDQ4720573FDOQ4720573

Edward I. George

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1080/03610928608829237

zbMATH Keywords

simulationmaximum likelihood estimatorriskmultivariate normaladmissibilitysquared error losssuperharmonic functionStein estimatorformal Bayesmixture of harmonic priorsnew minimax multiple shrinkage estimator

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Minimax procedures in statistical decision theory (62C20)

Cites Work

• Estimation of the mean of a multivariate normal distribution
• Limiting the Risk of Bayes and Empirical Bayes Estimators--Part II: The Empirical Bayes Case
• Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems
• Selecting a minimax estimator of a multivariate normal mean
• Minimax multiple shrinkage estimation
• Combining Minimax Shrinkage Estimators
• Bayesian input in Stein estimation and a new minimax empirical Bayes estimator
• Bayesian Estimation of Means for the Random Effect Model
• Bayes Methods for Combining the Results of Cancer Studies in Humans and Other Species
• Some alternative approaches to multiparameter estimation

Cited In (10)

• Group adaptive stein estimation of normal means
• Bayesian cumulative shrinkage for infinite factorizations
• Shrinkage estimates based on orthogonal decomposition of the sample space
• From minimax shrinkage estimation to minimax shrinkage prediction
• Estimations in the normal regression empirical bayes model
• Simultaneous estimation of means of classified normal observations
• Improved minimax predictive densities under Kullback-Leibler loss
• Empirical Bayes predictive densities for high-dimensional normal models
• A class of multiple shrinkage estimators
• Bayesian Semiparametric Multiple Shrinkage

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