General maximum likelihood empirical Bayes estimation of normal means
نویسندگان
چکیده
منابع مشابه
General Maximum Likelihood Empirical Bayes Estimation of Normal Means
We propose a general maximum likelihood empirical Bayes (GMLEB) method for the estimation of a mean vector based on observations with iid normal errors. We prove that under mild moment conditions on the means, the average mean squared error (MSE) of the GMLEB is within an infinitesimal fraction of the minimum average MSE among all separable estimators which use a single deterministic estimating...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2009
ISSN: 0090-5364
DOI: 10.1214/08-aos638