Shrinkage estimation in the two-way multivariate normal model
Shrinkage estimation in the two-way multivariate normal model
复制标题
双向多元正态模型中的收缩估计
DOI：
10.1214/aos/1032894468
复制
发表时间：
1996
影响因子：
4.5
通讯作者：
Li Sun
中科院分区：
文献类型：
--
作者：
Li Sun
提出了一个双向多元正态模型，并着重讨论了当观测值的公方差未知时均值的估计问题。提出了一类经验Bayes估计，并给出了均方误差。上的均方误差的下限被发现和相关的风险渐近。一个JamesStein型估计推导和比较与它的竞争对手-模态估计，是从一个层次的未知参数的先验。
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 JamesStein-type estimator is derived and compared with its competitor-a modal estimator that is obtained from a hierarchical prior for the unknown parameters.