On minimaxity and admissibility of hierarchical Bayes estimators

Journal of Multivariate Analysis

Volumn 98, Issue 4, 2007, Pages 829-851

  Kubokawa, Tatsuya ^a   Strawderman, William E ^b  

^a UNIVERSITY OF TOKYO   (Japan)

^b RUTGERS UNIVERSITY   (United States)

Author keywords

Admissibility; Bayes inference; Estimation; Hierarchical Bayes model; Inadmissibility; Minimaxity; Mixed linear model; Multivariate normal distribution; Shrinkage estimation

Indexed keywords

EID: 33846903364     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2006.08.009     Document Type: Article

References (6)

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2. Berger J.O., and Strawderman W.E. Choice of hierarchical priors: admissibility in estimation of normal means. Ann. Statist. 24 (1996) 931-951
3. Brown L.D. Admissible estimators, recurrent diffusions, and insolvable boundary value problems. Ann. Math. Statist. 42 (1971) 855-904
4. C. Stein, Estimation of the mean of a multivariate normal distribution, in: Proceedings of the Prague Symposium on Asymptotic Statistics, 1973, pp. 345-381.
5. Stein C. Estimation of the mean of a multivariate normal distribution. Ann. Statist. 9 (1981) 1135-1151
6. Strawderman W.E. Proper Bayes minimax estimators of the multivariate normal mean. Ann. Math. Statist. 42 (1971) 385-388