Shrinkage estimation in the two-way multivariate normal model

Shrinkage estimation in the two-way multivariate normal model

Li Sun

Source: Ann. Statist. Volume 24, Number 2 (1996), 825-840.

Abstract

A two-way multivariate normal model is proposed and attention is focused on estimation of the mean values when the common variance of the observations is unknown. A class of empirical Bayes estimators is proposed and mean-squared errors are given. A lower bound on the mean-squared error is found and related to risk asymptotics. A James-Stein-type estimator is derived and compared with its competitor--a modal estimator that is obtained from a hierarchical prior for the unknown parameters.

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Primary Subjects: 62F15

Secondary Subjects: 62C10, 62F11, 62F12, 62J07

Keywords: Empirical Bayes estimates; hierarchical priors; James-Stein estimator; mean-squared error; modal estimator; noncentral chi-square distribution; shrinkage of estimates

Full-text: Open access

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Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.aos/1032894468
Mathematical Reviews number (MathSciNet): MR1394991
Digital Object Identifier: doi:10.1214/aos/1032894468
Zentralblatt MATH identifier: 0859.62068

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