Using empirical partially Bayes inference for increased efficiency
The author shows how empirical partially Bayes methods can be utilized as a means for improving the efficiency of an estimator of the structural parameter in a class of problems in which the number of nuisance parameters increases to infinity. It is proposed to estimate the structural parameter in an asymptotically unbiased way and apply James- Stein shrinkage to the nuisance parameter estimators. It is shown that when the shrinkage estimators are carefully chosen, this yields estimators generally more efficient than the maximum likelihood one.
scientific article; zbMATH DE number 3969882