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OPTIMAL SHRINKAGE ESTIMATION OF MEAN PARAMETERS IN FAMILY OF DISTRIBUTIONS WITH QUADRATIC VARIANCE

Xianchao Xie1, S C Kou2, Lawrence Brown3

  • 1Two Sigma Investments LLC, 100 Avenue of the Americas, Floor 16, New York, NY 10013, xie1981@gmail.com.

Annals of Statistics
|April 5, 2016
PubMed

Keywords:
NEF-QVFasymptotic optimalityhierarchical modellocation-scale familyquadratic variance functionshrinkage estimatorunbiased estimate of risk

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