Proper Bayes minimax multiple shrinkage estimation

Abstract

For the canonical problem of estimating a multivariate normal mean under squared error loss, we demonstrate, for the first time, the existence of proper Bayes minimax multiple shrinkage estimators by introducing a general approach for their explicit construction. As opposed to minimax shrinkage estimators that shrink towards a single prespecified target, minimax multiple shrinkage estimators adaptively shrink towards the more promising of a set of prespecified targets, substantially increasing the region of potential risk reduction while maintaining the protection of always being at least as good as the maximum likelihood estimator. These estimators are particularly useful in practice as they address the challenge of selecting a minimax shrinkage estimator when prior information suggests more than one viable shrinkage target to choose from. In contrast to previous formal Bayes minimax multiple shrinkage estimators, which were built on mixtures of superharmonic marginals, these proper Bayes minimax multiple shrinkage estimators are obtained via mixtures of square-root superharmonic marginals. Examples of such proper Bayes minimax multiple shrinkage estimators include an adaptive convex combination of the rescaled Strawderman shrinkage estimators.