Date of this Version
The Annals of Statistics
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
shrinkage, empirical bayes, ensemble minimax, James-Stein Estimation, Random Effects Models
Brown, L. D., Nie, H., & Xie, X. (2011). Ensemble Minimax Estimation for Multivariate Normal Means. The Annals of Statistics, 1-32. Retrieved from https://repository.upenn.edu/statistics_papers/44
Date Posted: 27 November 2017
This document has been peer reviewed.