Empirical Bayes minimax estimators of matrix normal means

Malay Ghosh; Gwowen Shieh

doi:10.1016/0047-259X(91)90048-7

Empirical Bayes minimax estimators of matrix normal means

Malay Ghosh^*, Gwowen Shieh

^*Corresponding author for this work

Department of Management Science

Research output: Contribution to journal › Article › peer-review

17 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	306-318
Number of pages	13
Journal	Journal of Multivariate Analysis
Volume	38
Issue number	2
DOIs	https://doi.org/10.1016/0047-259X(91)90048-7
State	Published - 1 Jan 1991

Keywords

Bayes risks
Wishart identity
empirical Bayes
frequentist risks
matrix normal means
minimax

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