Limiting the Risk of Bayes and Empirical Bayes Estimators—Part II: The Empirical Bayes Case

1 March 1972

journal article
theory and-method
Published by Taylor & Francis in Journal of the American Statistical Association

Vol. 67 (337) , 130-139
https://doi.org/10.1080/01621459.1972.10481215

Abstract

We discuss compromises between Stein's estimator and the MLE which limit the risk to individual components of the estimation problem while sacrificing only a small fraction of the savings in total squared error loss given by Stein's rule. The compromise estimators “limit translation” away from the MLE. The calculations are pursued in an empirical Bayesian manner by considering their performance against an entire family of prior distributions on the unknown parameters.

Keywords

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