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Minimax estimation in linear regression model

✍ Scribed by Anil K. Srivastava; Praveen Shukla


Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
549 KB
Volume
50
Category
Article
ISSN
0378-3758

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The multivariate normal regression model, in which a vector y of responses is to be predicted by a vector x of explanatory variables, is considered. A hierarchical framework is used to express prior information on both x and y. An empirical Bayes estimator is developed which shrinks the maximum like