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April 1996 Shrinkage estimation in the two-way multivariate normal model
Li Sun
Ann. Statist. 24(2): 825-840 (April 1996). DOI: 10.1214/aos/1032894468


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.


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Li Sun. "Shrinkage estimation in the two-way multivariate normal model." Ann. Statist. 24 (2) 825 - 840, April 1996.


Published: April 1996
First available in Project Euclid: 24 September 2002

zbMATH: 0859.62068
MathSciNet: MR1394991
Digital Object Identifier: 10.1214/aos/1032894468

Primary: 62F15
Secondary: 62C10 , 62F11 , 62F12 , 62J07

Keywords: Empirical Bayes estimates , hierarchical priors , James-Stein estimator , mean-squared error , modal estimator , noncentral chi-square distribution , shrinkage of estimates

Rights: Copyright © 1996 Institute of Mathematical Statistics

Vol.24 • No. 2 • April 1996
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