Summary In traditional nonparametric EB (empirical Bayes) setting, the paper proposes generalization of the linear EB estimation method which takes advantage of the flexibility of the wavelet techniques. A nonparametric EB estimator is represented as a wavelet series expansion and the...

We consider independent pairs (X1, [Sigma]1), (X2, [Sigma]2), ..., (Xn, [Sigma]n), where each[Sigma]iis distributed according to some unknown density functiong([Sigma]) and, given[Sigma]i=[Sigma],Xihas conditional density functionq(x|[Sigma]) of the Wishart type. In each pair the...