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 -