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Journal of the American Statistical Association Volume 81, 1986 - Issue 394
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Theory and Method

Combining Minimax Shrinkage Estimators

Edward I. George Graduate School of Business, University of Chicago, Chicago, IL, 60637, USA
Pages 437-445 | Received 01 Oct 1984, Published online: 12 Mar 2012

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EvelynM. Crowley. (1997) Product Partition Models for Normal Means. Journal of the American Statistical Association 92:437, pages 192-198.
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Merlise Clyde, Heather Desimone & Giovanni Parmigiani. (1996) Prediction via Orthogonalized Model Mixing. Journal of the American Statistical Association 91:435, pages 1197-1208.
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Guido Consonni & Piero Veronese. (1995) A Bayesian Method for Combining Results from Several Binomial Experiments. Journal of the American Statistical Association 90:431, pages 935-944.
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S.J. Steel. (1993) Group adaptive stein estimation of normal means. Communications in Statistics - Simulation and Computation 22:3, pages 723-737.
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Yuen-Ching Fanny Ki. (1992) Multiple shrinkage estimators in multiple linear regression. Communications in Statistics - Theory and Methods 21:1, pages 111-136.
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C. S. Withers. (1990) Shrinkage estimates based on orthogonal decomposition of the sample space. Communications in Statistics - Theory and Methods 19:2, pages 505-526.
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Tatsuya Kubokawa. (1988) Monotonicity of risk for a shrinkage estimator of a multivariate normal mean. Communications in Statistics - Theory and Methods 17:2, pages 499-506.
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Edward I. George. (1986) A formal bayes multiple shrinkage estimator. Communications in Statistics - Theory and Methods 15:7, pages 2099-2114.
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A. S. Dalalyan. (2023) Simple Proof of the Risk Bound for Denoising by Exponential Weights for Asymmetric Noise Distributions. Journal of Contemporary Mathematical Analysis (Armenian Academy of Sciences) 58:6, pages 391-399.
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Veronika Rockova & Kenichiro McAlinn. (2021) Dynamic Variable Selection with Spike-and-Slab Process Priors. Bayesian Analysis 16:1.
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Arnak S. Dalalyan. (2020) Exponential weights in multivariate regression and a low-rankness favoring prior. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 56:2.
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K Pavan Srinath & Ramji Venkataramanan. (2019) Empirical Bayes estimators for high-dimensional sparse vectors. Information and Inference: A Journal of the IMA.
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Campbell R Harvey & Yan Liu. (2018) Detecting Repeatable Performance. The Review of Financial Studies 31:7, pages 2499-2552.
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Jia-Chiun Pan, Yufen Huang & J.T. Gene Hwang. (2017) Estimation of selected parameters. Computational Statistics & Data Analysis 109, pages 45-63.
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Veronika Ročková & Edward I. George. 2016. Statistical Analysis for High-Dimensional Data. Statistical Analysis for High-Dimensional Data 233 254 .
Aiyou Chen, Art B. Owen & Minghui Shi. (2015) Data enriched linear regression. Electronic Journal of Statistics 9:1.
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Bruce E. Hansen. (2014) Model averaging, asymptotic risk, and regressor groups. Quantitative Economics 5:3, pages 495-530.
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George Casella. 2014. Wiley StatsRef: Statistics Reference Online. Wiley StatsRef: Statistics Reference Online.
Edward I. George, Feng Liang & Xinyi Xu. (2012) From Minimax Shrinkage Estimation to Minimax Shrinkage Prediction. Statistical Science 27:1.
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Xinyi Xu & Dunke Zhou. (2011) Empirical Bayes predictive densities for high-dimensional normal models. Journal of Multivariate Analysis 102:10, pages 1417-1428.
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Richard F. MacLehose & David B. Dunson. (2010) Bayesian Semiparametric Multiple Shrinkage. Biometrics 66:2, pages 455-462.
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Edward I. George, Feng Liang & Xinyi Xu. (2006) Improved minimax predictive densities under Kullback–Leibler loss. The Annals of Statistics 34:1.
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George Casella. 2005. Encyclopedia of Biostatistics. Encyclopedia of Biostatistics.
Harrison H. Zhou & J. T. Gene Hwang. (2005) Minimax estimation with thresholding and its application to wavelet analysis. The Annals of Statistics 33:1.
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Sonia Petrone & Piero Veronese. (2002) Non parametric mixture priors based on an exponential random scheme. Statistical Methods & Applications 11:1, pages 1-20.
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Dominique Fourdrinier, William E. Strawderman & Martin T. Wells. (1998) On the construction of Bayes minimax estimators. The Annals of Statistics 26:2.
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Merlise Clyde & Giovanni Parmigiani. 1996. Modelling and Prediction Honoring Seymour Geisser. Modelling and Prediction Honoring Seymour Geisser 206 227 .
C. S. Withers. (1991) A class of multiple shrinkage estimators. Annals of the Institute of Statistical Mathematics 43:1, pages 147-156.
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Fanny Ki And & Kam‐Wah Tsui. (2008) Multiple‐shrinkage estimators of means in exponential families. Canadian Journal of Statistics 18:1, pages 31-46.
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Toyoaki Akai. (1989) Simultaneous estimation of means of classified normal observations. Annals of the Institute of Statistical Mathematics 41:3, pages 485-502.
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Campbell R. Harvey & Yan Liu. (2015) Rethinking Performance Evaluation. SSRN Electronic Journal.
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