A note on improving on a vector of coordinate-wise estimators of non-negative means via shrinkage

Yuan Tsung Chang, Takeru Matsuda, William E. Strawderman

Research output: Contribution to journalArticle

Abstract

We study improved shrinkage estimation of a vector of non-negative means. We concentrate on the Gaussian case with known scale, but do not necessarily assume the initial estimator is minimax. As a result, we find improved shrinkage estimators in fewer than 3 dimension in certain cases. Generalized Bayes estimators which may be improved via shrinkage in 1 and 2 dimensions illustrate the result. We also consider improved positive part estimators.

Original languageEnglish (US)
Pages (from-to)143-150
Number of pages8
JournalStatistics and Probability Letters
Volume153
DOIs
StatePublished - Oct 2019

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Generalized Bayes estimator
  • Katz estimator
  • Pseudo-Bayes estimator
  • Stein estimator

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