On SURE-Type Double Shrinkage Estimation
The article is concerned with empirical Bayes shrinkage estimators for the heteroscedastic hierarchical normal model using Stein's unbiased estimate of risk (SURE). Recently, Xie, Kou, and Brown proposed a class of estimators for this type of problems and established their asymptotic optimality...
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sg-ntu-dr.10356-855992023-02-28T19:33:08Z On SURE-Type Double Shrinkage Estimation Jing, Bing-Yi Li, Zhouping Pan, Guangming Zhou, Wang School of Physical and Mathematical Sciences Double shrinkage estimators Empirical Bayes The article is concerned with empirical Bayes shrinkage estimators for the heteroscedastic hierarchical normal model using Stein's unbiased estimate of risk (SURE). Recently, Xie, Kou, and Brown proposed a class of estimators for this type of problems and established their asymptotic optimality properties under the assumption of known but unequal variances. In this article, we consider this problem with unequal and unknown variances, which may be more appropriate in real situations. By placing priors for both means and variances, we propose novel SURE-type double shrinkage estimators that shrink both means and variances. Optimal properties for these estimators are derived under certain regularity conditions. Extensive simulation studies are conducted to compare the newly developed methods with other shrinkage techniques. Finally, the methods are applied to the well-known baseball dataset and a gene expression dataset. Supplementary materials for this article are available online. MOE (Min. of Education, S’pore) Accepted version 2017-09-18T05:16:41Z 2019-12-06T16:06:53Z 2017-09-18T05:16:41Z 2019-12-06T16:06:53Z 2016 Journal Article Jing, B.-Y., Li, Z., Pan, G., & Zhou, W. (2016). On SURE-Type Double Shrinkage Estimation. Journal of the American Statistical Association, 111(516), 1696-1704. 0162-1459 https://hdl.handle.net/10356/85599 http://hdl.handle.net/10220/43759 10.1080/01621459.2015.1110032 en Journal of the American Statistical Association © 2016 American Statistical Association. This is the author created version of a work that has been peer reviewed and accepted for publication in Journal of the American Statistical Association, published by Taylor & Francis on behalf of American Statistical Association. It incorporates referee’s comments but changes resulting from the publishing process, such as copyediting, structural formatting, may not be reflected in this document. The published version is available at: [http://dx.doi.org/10.1080/01621459.2015.1110032]. 28 p. application/pdf |
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Double shrinkage estimators Empirical Bayes Jing, Bing-Yi Li, Zhouping Pan, Guangming Zhou, Wang On SURE-Type Double Shrinkage Estimation |
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The article is concerned with empirical Bayes shrinkage estimators for the heteroscedastic hierarchical normal model using Stein's unbiased estimate of risk (SURE). Recently, Xie, Kou, and Brown proposed a class of estimators for this type of problems and established their asymptotic optimality properties under the assumption of known but unequal variances. In this article, we consider this problem with unequal and unknown variances, which may be more appropriate in real situations. By placing priors for both means and variances, we propose novel SURE-type double shrinkage estimators that shrink both means and variances. Optimal properties for these estimators are derived under certain regularity conditions. Extensive simulation studies are conducted to compare the newly developed methods with other shrinkage techniques. Finally, the methods are applied to the well-known baseball dataset and a gene expression dataset. Supplementary materials for this article are available online. |
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School of Physical and Mathematical Sciences |
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School of Physical and Mathematical Sciences Jing, Bing-Yi Li, Zhouping Pan, Guangming Zhou, Wang |
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Article |
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Jing, Bing-Yi Li, Zhouping Pan, Guangming Zhou, Wang |
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Jing, Bing-Yi |
title |
On SURE-Type Double Shrinkage Estimation |
title_short |
On SURE-Type Double Shrinkage Estimation |
title_full |
On SURE-Type Double Shrinkage Estimation |
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On SURE-Type Double Shrinkage Estimation |
title_full_unstemmed |
On SURE-Type Double Shrinkage Estimation |
title_sort |
on sure-type double shrinkage estimation |
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2017 |
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https://hdl.handle.net/10356/85599 http://hdl.handle.net/10220/43759 |
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