Ensemble Minimax Estimation for Multivariate Normal Means

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Statistics Papers
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shrinkage
empirical bayes
ensemble minimax
James-Stein Estimation
Random Effects Models
Physical Sciences and Mathematics
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Brown, Lawrence D
Nie, Hui
Xie, Xianchao
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This article discusses estimation of a heteroscedastic multivariate normal mean in terms of the ensemble risk. We first derive the ensemble minimaxity properties of various estimators that shrink towards zero. We then generalize our results to the case where the variances are given as a common unknown but estimable chi-squared random variable scaled by different known factors. We further provide a class of ensemble minimax estimators that shrink towards the common mean

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2011-01-01
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The Annals of Statistics
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