Mathematics
8 years ago

New estimator adapts to multiple targets, promising similar risk properties.

Communication in Statistics- Theory and Methods
A formal bayes multiple shrinkage estimator
Edward I. George

Paper Summary

A new method called formal Bayes multiple shrinkage estimator has been developed. This method can adjust its estimates towards different targets and is based on a mixture of harmonic priors. The estimator shows similar risk properties to a previously proposed method and is proven to be effective in certain cases.

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