Statistics Papers

Document Type

Journal Article

Date of this Version

2011

Publication Source

The Annals of Statistics

Start Page

1

Last Page

32

Abstract

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

Keywords

shrinkage, empirical bayes, ensemble minimax, James-Stein Estimation, Random Effects Models

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Date Posted: 27 November 2017

This document has been peer reviewed.