Shrinkage estimation in the two-way multivariate normal model

DOI10.1214/aos/1032894468zbMath0859.62068OpenAlexW2063167254MaRDI QIDQ1816576

Li Sun

Publication date: 27 November 1996

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

Full work available at URL: https://doi.org/10.1214/aos/1032894468

zbMATH Keywords

lower boundmean valuesempirical Bayes estimatorsnoncentral chi-square distributionhierarchical priorJames-Stein-type estimatormean-squared errorsmodal estimatorrisk asymptoticsshrinkage of estimatestwo-way multivariate normal model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (5)

A class of shrinkage estimators in linear regression ⋮ Methods for improvement in estimation of a normal mean matrix ⋮ Bayesian simultaneous estimation for means in \(k\)-sample problems ⋮ Estimation of the mean vector of a multivariate normal distribution: subspace hypothesis ⋮ Minimax hierarchical empirical Bayes estimation in multivariate regression

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