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 function on individual observations, provided that the risk is of greater order than (logn)5/n. We also prove that the GMLEB is simultaneously uniformly approximately minimax when the p-th moment of the unknown means is between (logn)κ1/n and np/2/(logn)κ2 . Simulation experiments demonstrate that the GMLEB outperforms the James-Stein and several state-ofthe-art threshold estimators in a wide range of settings without much down side. AMS 2000 subject classifications: Primary 62C12,62G05,62G08,62G20,62C25.