Empirical Bayes minimax estimators of matrix normal means

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.

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Year of publication:	1991
Authors:	Ghosh, Malay ; Shieh, Gwowen
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 38.1991, 2, p. 306-318
Publisher:	Elsevier
Keywords:	matrix normal means empirical Bayes minimax frequentist risks Bayes risks Wishart identity

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005199702