题目： Double Shrinkage SURE Estimation
报告人：周望 教授（新加坡国立大学）
时间：2015年5月29日（周五）11:00-12:00
地点：苏州大学本部维格堂113
摘要：This talk is concerned with empirical Bayes shrinkage estimators for the heteroscedastic hierarchical normal model using Stein‘s unbiased estimate of risk (SURE). Recently, Xie, Kou and Brown (2012) proposed a class of estimators for this type of problems and established their asymptotic optimality properties under the assumption of known but unequal variances. In this talk, we discuss this problem with unequal and unknown variances, which may be more appropriate in real situations. By placing priors for both means and variances, we propose novel SURE-type double shrinkage estimators which shrink both means and variances. Optimal properties for these estimators are derived under certain regularity conditions.