Minimum Message Length shrinkage estimation

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.

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Year of publication:	2009
Authors:	Makalic, Enes ; Schmidt, Daniel F.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 9, p. 1155-1161
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005023208