Shrinkage estimation in the two-way multivariate normal model
Sun, Li
Ann. Statist., Tome 24 (1996) no. 6, p. 825-840 / Harvested from Project Euclid
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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.
Publié le : 1996-04-14
Classification:  Empirical Bayes estimates,  hierarchical priors,  James-Stein estimator,  mean-squared error,  modal estimator,  noncentral chi-square distribution,  shrinkage of estimates,  62F15,  62C10,  62F11,  62F12,  62J07 
@article{1032894468,
     author = {Sun, Li},
     title = {Shrinkage estimation in the two-way multivariate normal model},
     journal = {Ann. Statist.},
     volume = {24},
     number = {6},
     year = {1996},
     pages = { 825-840},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1032894468}
}

Sun, Li. Shrinkage estimation in the two-way multivariate normal model. Ann. Statist., Tome 24 (1996) no. 6, pp.  825-840. http://gdmltest.u-ga.fr/item/1032894468/