Group-Linear Empirical Bayes Estimates for a Heteroscedastic Normal Mean
针对已知不等方差的正态均值估计问题，提出将方差视为随机观测的组线性经验贝叶斯估计，在理论上达到新预言风险且极小极大，在棒球数据上预测误差低于其他参数和半参数经验贝叶斯方法。
The problem of estimating the mean of a normal vector with known but unequal variances introduces substantial difficulties that impair the adequacy of traditional empirical Bayes estimators. By taking a different approach that treats the known variances as part of the random observations, we restore symmetry and thus the effectiveness of such methods. We suggest a group-linear empirical Bayes estimator, which collects observations with similar variances and applies a spherically symmetric estimator to each group separately. The proposed estimator is motivated by a new oracle rule which is stronger than the best linear rule, and thus provides a more ambitious benchmark than that considered in the previous literature. Our estimator asymptotically achieves the new oracle risk (under appropriate conditions) and at the same time is minimax. The group-linear estimator is particularly advantageous in situations where the true means and observed variances are empirically dependent. To demonstrate the merits of the proposed methods in real applications, we analyze the baseball data used by Brown (2008 ——— (2008), “In-Season Prediction of Batting Averages: A Field Test of Empirical Bayes and Bayes Methodologies,” The Annals of Applied Statistics, 2, 113–152.[Crossref], [Web of Science ®] , [Google Scholar]), where the group-linear methods achieved the prediction error of the best nonparametric estimates that have been applied to the dataset, and significantly lower error than other parametric and semiparametric empirical Bayes estimators.