Shrinkage estimation in the two-way multivariate normal model

• 成果类型: Article
• 署名作者: Sun, L
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 1996
• 页码: 825-840
• 关键词: minimax estimators; BAYES

摘要

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.