Empirical Bayes minimax estimators of matrix normal means

Malay Ghosh and Gwowen Shieh

Journal of Multivariate Analysis, 1991, vol. 38, issue 2, 306-318

Abstract: The paper considers estimation of matrix normal means. A class of empirical Bayes estimators is proposed which dominates the maximum likelihood estimator simultaneously for many quadratic losses. Several of these empirical Bayes estimators are compared in terms of their simulated risks, and a concrete recommendation is made about the choice of a particular empirical Bayes estimator.

Keywords: matrix; normal; means; empirical; Bayes; minimax; frequentist; risks; Bayes; risks; Wishart; identity (search for similar items in EconPapers)
Date: 1991
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Citations: View citations in EconPapers (5)

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