Empirical Bayes predictive densities for high-dimensional normal models

DOI10.1016/j.jmva.2011.05.008zbMath1219.62011MaRDI QIDQ634558

Dunke Zhou, Xinyi Xu

Publication date: 16 August 2011

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.05.008

zbMATH Keywords

empirical Bayes; shrinkage estimation; minimaxity; oracle inequality; Kullback-Leibler loss

Mathematics Subject Classification ID

62J07: Ridge regression; shrinkage estimators (Lasso)

60E15: Inequalities; stochastic orderings

62C20: Minimax procedures in statistical decision theory

62C12: Empirical decision procedures; empirical Bayes procedures

Related Items

Empirical Bayes inference for the parameter of power distribution based on ranked set sampling, Exact minimax estimation of the predictive density in sparse Gaussian models, From minimax shrinkage estimation to minimax shrinkage prediction

Uses Software

• BayesDA

Cites Work

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