On SURE estimates in hierarchical models assuming heteroscedasticity for both levels of a two-level normal hierarchical model

DOI10.1016/j.jmva.2014.08.001zbMath1360.62397OpenAlexW2043280555MaRDI QIDQ458639

Mohammad R. Meshkani, Seyed Kamran Ghoreishi

Publication date: 8 October 2014

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.08.001

zbMATH Keywords

heteroscedasticityasymptotic optimalityshrinkage estimatorsStein's unbiased risk estimate (SURE)

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric estimation (62G05) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (3)

Empirical estimates for heteroscedastic hierarchical dynamic normal models ⋮ Risk estimators for choosing regularization parameters in ill-posed problems -- properties and limitations ⋮ Bayesian analysis of restricted penalized empirical likelihood

Cites Work

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• Asymptotic optimality of \(C_ L\) and generalized cross-validation in ridge regression with application to spline smoothing
• Choice of hierarchical priors: Admissibility in estimation of normal means
• Nonparametric empirical Bayes and compound decision approaches to estimation of a high-dimensional vector of normal means
• In-season prediction of batting averages: a field test of empirical Bayes and Bayes methodol\-ogies
• SURE Estimates for a Heteroscedastic Hierarchical Model

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