A formal bayes multiple shrinkage estimator
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Publication:4720573
DOI10.1080/03610928608829237zbMath0613.62064OpenAlexW2052143291MaRDI QIDQ4720573
Publication date: 1986
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610928608829237
simulationsquared error lossmaximum likelihood estimatorriskadmissibilitysuperharmonic functionmultivariate normalStein estimatorformal Bayesmixture of harmonic priorsnew minimax multiple shrinkage estimator
Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15) Minimax procedures in statistical decision theory (62C20)
Related Items
From minimax shrinkage estimation to minimax shrinkage prediction, Estimations in the normal regression empirical bayes model, Group adaptive stein estimation of normal means, Empirical Bayes predictive densities for high-dimensional normal models, Bayesian Semiparametric Multiple Shrinkage, A class of multiple shrinkage estimators, Improved minimax predictive densities under Kullback-Leibler loss, Simultaneous estimation of means of classified normal observations, Shrinkage estimates based on orthogonal decomposition of the sample space
Cites Work
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