Minimum Message Length shrinkage estimation

Enes Makalic and Daniel F. Schmidt

Statistics & Probability Letters, 2009, vol. 79, issue 9, 1155-1161

Abstract: This note considers estimation of the mean of a multivariate Gaussian distribution with known variance within the Minimum Message Length (MML) framework. Interestingly, the resulting MML estimator exactly coincides with the positive-part James-Stein estimator under the choice of an uninformative prior. A new approach for estimating parameters and hyperparameters in general hierarchical Bayes models is also presented.

Date: 2009
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