Open Collections

BIRS Workshop Lecture Videos

Banff International Research Station Logo
Featured Collection

BIRS Workshop Lecture Videos

Ensemble minimaxity of James-Stein estimators Maruyama, Yuzo

Description

We consider estimation of a heteroscedastic multivariate normal mean. Under heteroscedasticity, estimators shrinking more on the coordinates with larger variances, seem desirable. However, they are not necessarily ordinary minimax. We show that such James-Stein type estimators can be ensemble minimax, minimax with respect to the ensemble risk, related to empirical Bayes perspective of Efron and Morris. This is a joint work with Larry Brown and Ed George.

Item Metadata

Title
Ensemble minimaxity of James-Stein estimators
Creator
Maruyama, Yuzo
Publisher
Banff International Research Station for Mathematical Innovation and Discovery
Date Issued
2019-04-11T15:42
Description
We consider estimation of a heteroscedastic multivariate normal mean. Under heteroscedasticity, estimators shrinking more on the coordinates with larger variances, seem desirable. However, they are not necessarily ordinary minimax. We show that such James-Stein type estimators can be ensemble minimax, minimax with respect to the ensemble risk, related to empirical Bayes perspective of Efron and Morris. This is a joint work with Larry Brown and Ed George.
Extent
48.0 minutes
Subject
Mathematics; Statistics
Type
Moving Image
File Format
video/mp4
Language
eng
Notes
Author affiliation: University of Tokyo
Series
BIRS Workshop Lecture Videos (Banff, Alta)
Date Available
2019-10-09
Provider
Vancouver : University of British Columbia Library
Rights
Attribution-NonCommercial-NoDerivatives 4.0 International
DOI
10.14288/1.0383330
URI
http://hdl.handle.net/2429/71871
Affiliation
Non UBC
Peer Review Status
Unreviewed
Scholarly Level
Faculty
Rights URI
http://creativecommons.org/licenses/by-nc-nd/4.0/
Aggregated Source Repository
DSpace

Item Media

Item Citations and Data

Rights

Attribution-NonCommercial-NoDerivatives 4.0 International