Hierarchical Empirical Bayes Estimation of Two Sample Means Under Divergence Loss

Malay Ghosh () and Tatsuya Kubokawa ()
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Malay Ghosh: University of Florida
Tatsuya Kubokawa: University of Tokyo

Sankhya A: The Indian Journal of Statistics, 2018, vol. 80, issue 1, No 4, 70-83

Abstract: Abstract We consider the problem of simultaneous estimation of two population means when one suspects that the two means are nearly equal. It is shown that the hierarchical empirical Bayes estimators which shrink the sample means towards the suspected hypothesis dominate the sample mean vectors in simultaneous estimation under the divergence loss function.

Keywords: Dominance property; Hellinger divergence; Kullback-Leibler divergence; Minimaxity; Risk function; Shrinkage estimator; Simultaneous estimation; Stein phenomenon; Primary 62C20; Secondary 62C12 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s13171-018-0155-5

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