A formal bayes multiple shrinkage estimator

DOI10.1080/03610928608829237MaRDI QIDQ4720573zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

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

Cited in

(11)

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

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