Estimating the mean of high valued ob- servations in high dimensions
نویسندگان
چکیده
Let Yi ∼ N(μi, 1), i = 1, ..., n, be independent random variables. We study the problem of estimating the quantity S = P {i|C<Yi} μi. We emphasize the case where n is large, the vector (μ1, ..., μn) is sparse, and the value of C is large. The performance of our suggested estimator is studied both theoretically and through simulations. We also obtain some results related to the local false discovery rates corresponding to high valued points Yi.
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