Minimax estimation of means of multivariate normal mixtures

Ensemble Minimax Estimation for Multivariate Normal Means

This article discusses estimation of a heteroscedastic multivariate normal mean in terms of the ensemble risk. We first derive the ensemble minimaxity properties of various estimators that shrink towards zero. We then generalize our results to the case where the variances are given as a common unknown but estimable chi-squared random variable scaled by different known factors. We further provid...

Improved minimax estimation of a multivariate normal mean under heteroscedasticity

Consider the problem of estimating a multivariate normal mean with a known variance matrix, which is not necessarily proportional to the identity matrix. The coordinates are shrunk directly in proportion to their variances in Efron and Morris’ (J. Amer. Statist. Assoc. 68 (1973) 117–130) empirical Bayes approach, whereas inversely in proportion to their variances in Berger’s (Ann. Statist. 4 (1...

Inference for multivariate normal mixtures

Multivariate normal mixtures provide a flexible model for high-dimensional data. They are widely used in statistical genetics, statistical finance, and other disciplines. Due to the unboundedness of the likelihood function, classical likelihoodbased methods, which may have nice practical properties, are inconsistent. In this paper, we recommend a penalized likelihood method for estimating the m...

Shape mixtures of multivariate skew-normal distributions

Classes of shape mixtures of independent and dependent multivariate skew-normal distributions are considered and some of their main properties are studied. If interpreted from a Bayesian point of view, the results obtained in this paper bring tractability to the problem of inference for the shape parameter, that is, the posterior distribution can be written in analytic form. Robust inference fo...

Estimation of the Multivariate Normal Mean under the Extended Reflected Normal Loss Function