The Kullback-Leibler risk of the Stein estimator and the conditional MLE

DOI10.1007/BF00773590zbMath0804.62010MaRDI QIDQ1336540

Takemi Yanagimoto

Publication date: 19 January 1995

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

empirical Bayesmaximum likelihood estimatorconditional maximum likelihoodStein estimatorexponential dispersion modeldecomposition of the Kullback-Leibler riskexpected log-likelihood ratio

Mathematics Subject Classification ID

Point estimation (62F10) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items

Constructing estimators of a mean vector through orthogonal reparametrization and differential equations ⋮ Asymptotic properties of conditional maximum likelihood estimator in a certain exponential model ⋮ Saddlepoint condition on a predictor to reconfirm the need for the assumption of a prior distribution ⋮ Decomposition of Kullback-Leibler risk and unbiasedness for parameter-free estimators ⋮ Asymptotical improvement of maximum likelihood estimators on Kullback-Leibler loss ⋮ Extensions of the conjugate prior through the Kullback--Leibler separators ⋮ Generalized SURE for optimal shrinkage of singular values in low-rank matrix denoising ⋮ A pair of estimating equations for a mean vector

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