An adaptive empirical Bayes estimator of the multivariate normal mean under quadratic loss

DOI10.1016/0304-4076(90)90079-9zbMath0698.62009OpenAlexW2008268670MaRDI QIDQ912512

R. Carter Hill, George G. Judge, Mary Ellen Bock

Publication date: 1990

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(90)90079-9

zbMATH Keywords

shrinkage estimatorsvague priorsnear-minimax empirical Bayes estimatorsoptimum risk- effective shrinkage estimatorrisk improvementsquared-error-loss measureStein's unbiased estimator of the riskunknown location vector

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20) Empirical decision procedures; empirical Bayes procedures (62C12)

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