Mathematics – Statistics Theory
Scientific paper
2009-08-12
Annals of Statistics 2009, Vol. 37, No. 4, 1647-1684
Mathematics
Statistics Theory
Published in at http://dx.doi.org/10.1214/08-AOS638 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of
Scientific paper
10.1214/08-AOS638
We propose a general maximum likelihood empirical Bayes (GMLEB) method for the estimation of a mean vector based on observations with i.i.d. normal errors. We prove that under mild moment conditions on the unknown means, the average mean squared error (MSE) of the GMLEB is within an infinitesimal fraction of the minimum average MSE among all separable estimators which use a single deterministic estimating function on individual observations, provided that the risk is of greater order than $(\log n)^5/n$. We also prove that the GMLEB is uniformly approximately minimax in regular and weak $\ell_p$ balls when the order of the length-normalized norm of the unknown means is between $(\log n)^{\kappa_1}/n^{1/(p\wedge2)}$ and $n/(\log n)^{\kappa_2}$. Simulation experiments demonstrate that the GMLEB outperforms the James--Stein and several state-of-the-art threshold estimators in a wide range of settings without much down side.
Jiang Wenhua
Zhang Cun-Hui
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