Shrinkage estimator in normal mean vector estimation based on conditional maximum likelihood estimators

Junyong Park

Statistics & Probability Letters, 2014, vol. 93, issue C, 1-6

Abstract: Estimation of normal mean vector has broad applications such as small area estimation, estimation of nonparametric functions and estimation of wavelet coefficients. In this paper, we propose a new shrinkage estimator based on conditional maximum likelihood estimator incorporating with Stein’s risk unbiased estimator (SURE) when data have the normality. We present some theoretical work and provide numerical studies to compare with some existing methods.

Keywords: Shrinkage; Sparsity; Empirical Bayes; Conditional maximum likelihood estimate; Mean vector; Stein’s risk unbiased estimate (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2014.06.005

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