Estimation of normal means: Frequentist estimation of loss

DOI10.1214/aos/1176347149zbMath0714.62003OpenAlexW1986282070MaRDI QIDQ751098

D. Kharzeev

Publication date: 1989

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347149

zbMATH Keywords

generalized Bayes estimatorposterior variancescoring ruleidentity covariance matrixStein-type estimatorscommunication losscommunication riskdata-dependent loss estimatorsestimation of normal meansfrequentist estimation of lossposterior expected losssum of squares error loss

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian problems; characterization of Bayes procedures (62C10) Admissibility in statistical decision theory (62C15)

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