ejs: Extended James-Stein (ejs) estimator

In asus: Adaptive SURE Thresholding Using Side Information

Extended James-Stein (ejs) estimator

Description

Extended James-Stein estimator of a high dimensional sparse parameter.

Usage

ejs(d, v.d)

Arguments

d	an n vector of observations
v.d	an n vector of variances for each component of d

Details

Extended James-Stein estimator of mean from Brown (2008) and equation (7.3) in Xie et al. (2012)

Value

est - an n vector holding the estimates

References

1. Brown, L.D. (2008). In-Season Prediction of Batting Averages: A Field Test of Empirical Bayes and Bayes Methodologies. The Annals of Applied Statistics, 2, 113-152

2. Xie, X. C., Kou, S. C., and Brown, L. D. (2012). SURE Estimates for a Heteroscedastic Hierarchical Model. Journal of the American Statistical Association, 107, 1465-1479.

See Also

sureshrink,asus

Examples

library(asus)
set.seed(42)
d<-rnorm(10,2,1)
v.d<- rep(1,10)
theta.hat<-ejs(d,v.d)

asus documentation built on Aug. 24, 2023, 5:10 p.m.