Using Empirical Partially Bayes Inference for Increased Efficiency

The Annals of Statistics · 1985 · Volume 13 · Issue 3

Abstract

Empirical partially Bayes methods are considered as a means of improving efficiency in a class of problems in which the number of nuisance parameters increases to infinity. In the method used, the parameter of interest is estimated in an asymptotically unbiased way while James-Stein shrinkage is applied to the nuisance parameter estimates. When the shrinkage estimators are carefully chosen, this yields estimators generally more efficient than maximum likelihood. In the models considered, the conditional structure imposed allows construction of a simple estimator which is broadly consistent and efficient.

Keywords

62F10, 62F12, conditional score, Empirical Bayes, James-Stein estimators, nuisance parameters, weighted means

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