A formal bayes multiple shrinkage estimator

DOI10.1080/03610928608829237zbMath0613.62064OpenAlexW2052143291MaRDI QIDQ4720573

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

simulationsquared error lossmaximum likelihood estimatorriskadmissibilitysuperharmonic functionmultivariate normalStein estimatorformal Bayesmixture of harmonic priorsnew minimax multiple shrinkage estimator

Mathematics Subject Classification ID

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

Related Items

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

Cites Work

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• Minimax multiple shrinkage estimation
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• Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems