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General maximum likelihood empirical Bayes estimation of normal means. (English) Zbl 1168.62005
Summary: We propose a general maximum likelihood empirical Bayes (GMLEB) method for the estimation of a mean vector based on observations with i.i.d. normal errors. We prove that under mild moment conditions on the unknown means, the average mean squared error (MSE) of the GMLEB is within an infinitesimal fraction of the minimum average MSE among all separable estimators which use a single deterministic estimating function on individual observations, provided that the risk is of greater order than $$(\log n)^5/n$$. We also prove that the GMLEB is uniformly approximately minimax in regular and weak $$\ell_p$$ balls when the order of the length-normalized norm of the unknown means is between $$(\log n)^{\kappa _1}/n^{1/(p\land 2)}$$ and $$n/(\log n)^{\kappa_2}$$. Simulation experiments demonstrate that the GMLEB outperforms the James-Stein and several state-of-the-art threshold estimators in a wide range of settings without much down side.

##### MSC:
 62C12 Empirical decision procedures; empirical Bayes procedures 62G05 Nonparametric estimation 62H12 Estimation in multivariate analysis 62G08 Nonparametric regression and quantile regression 62G20 Asymptotic properties of nonparametric inference 65C60 Computational problems in statistics (MSC2010)
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