Statistics Papers

Document Type

Journal Article

Date of this Version

2016

Publication Source

The Annals of Statistics

Volume

44

Issue

2

Start Page

564

Last Page

597

DOI

10.1214/15-AOS1377

Abstract

This paper discusses the simultaneous inference of mean parameters in a family of distributions with quadratic variance function. We first introduce a class of semiparametric/parametric shrinkage estimators and establish their asymptotic optimality properties. Two specific cases, the location-scale family and the natural exponential family with quadratic variance function, are then studied in detail. We conduct a comprehensive simulation study to compare the performance of the proposed methods with existing shrinkage estimators. We also apply the method to real data and obtain encouraging results.

Copyright/Permission Statement

The original and published work is available at: https://projecteuclid.org/euclid.aos/1458245728#abstract

Keywords

Hierarchical model, shrinkage estimator, unbiased estimate of risk, asymptotic optimality, quadratic variance function, NEF-QVF, location-scale family

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Date Posted: 27 November 2017

This document has been peer reviewed.