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Abstract Details
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Activity Number:
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583
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Type:
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Contributed
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Date/Time:
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Wednesday, August 3, 2011 : 2:00 PM to 3:50 PM
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Sponsor:
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IMS
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| Abstract - #300840 |
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Title:
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Ensemble Minimax Estimation for Multivariate Normal Means
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Author(s):
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Lawrence Brown and Hui Nie*+ and Xianchao Xie
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Companies:
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University of Pennsylvania and University of Pennsylvania and Harvard University
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Address:
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3730 Walnut Street, Philadelphia, PA, 19104,
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Keywords:
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Shrinkage ;
Empirical Bayes ;
Ensemble Minimax ;
James-Stein Estimation ;
Random Effects Models
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Abstract:
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This article discusses estimation of a heteroscedastic multivariate normal mean in terms of the ensemble risk. We first derive the ensemble minimaxity properties of various estimators that shrink towards zero. We then generalize our results to the case where the variances are given as a common unknown but estimable chi-squared random variable scaled by different known factors. We further provide a class of ensemble minimax estimators that shrink towards the common mean.
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