The Kullback-Leibler risk of the Stein estimator and the conditional MLE
The Kullback-Leibler risk of the Stein estimator and the conditional MLE
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Stein 估计量和条件 MLE 的 Kullback-Leibler 风险
DOI：
10.1007/bf00773590
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发表时间：
1994
影响因子：
1
通讯作者：
T. Yanagimoto
中科院分区：
文献类型：
--
作者：
T. Yanagimoto
讨论了极大似然估计的Kullback-Leibler风险分解与Stein估计和条件极大似然估计的关系。一个显着的对应关系的分解的Stein估计和条件极大似然估计。这种分解反映了预期对数似然比的分解。因此，可以得出结论，这些修改后的估计降低了预期的对数似然比的风险。从这个角度讨论了经验贝叶斯方法。
The decomposition of the Kullback-Leibler risk of the maximum likelihood estimator (MLE) is discussed in relation to the Stein estimator and the conditional MLE. A notable correspondence between the decomposition in terms of the Stein estimator and that in terms of the conditional MLE is observed. This decomposition reflects that of the expected log-likelihood ratio. Accordingly, it is concluded that these modified estimators reduce the risk by reducing the expected log-likelihood ratio. The empirical Bayes method is discussed from this point of view.