TY - JOUR

T1 - A note on improving on a vector of coordinate-wise estimators of non-negative means via shrinkage

AU - Chang, Yuan Tsung

AU - Matsuda, Takeru

AU - Strawderman, William E.

N1 - Funding Information:
We thank two reviewers and the associate editor for careful reading and for valuable suggestions which have substantially improved the article. This work is supported by Grant-in-Aid for Scientific Research (C) No. 26330047 , 18K11196 Japan (to Yuan-Tsung Chang). This work was partially supported by a grant from the Simons Foundation ( #418098 to William Strawderman).

PY - 2019/10

Y1 - 2019/10

N2 - We study improved shrinkage estimation of a vector of non-negative means. We concentrate on the Gaussian case with known scale, but do not necessarily assume the initial estimator is minimax. As a result, we find improved shrinkage estimators in fewer than 3 dimension in certain cases. Generalized Bayes estimators which may be improved via shrinkage in 1 and 2 dimensions illustrate the result. We also consider improved positive part estimators.

AB - We study improved shrinkage estimation of a vector of non-negative means. We concentrate on the Gaussian case with known scale, but do not necessarily assume the initial estimator is minimax. As a result, we find improved shrinkage estimators in fewer than 3 dimension in certain cases. Generalized Bayes estimators which may be improved via shrinkage in 1 and 2 dimensions illustrate the result. We also consider improved positive part estimators.

KW - Generalized Bayes estimator

KW - Katz estimator

KW - Pseudo-Bayes estimator

KW - Stein estimator

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U2 - 10.1016/j.spl.2019.06.005

DO - 10.1016/j.spl.2019.06.005

M3 - Article

AN - SCOPUS:85067652351

SN - 0167-7152

VL - 153

SP - 143

EP - 150

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -