In this short note the closed form of the soft wavelet shrinkage estimator is derived, extending the work of Huang (2002) for the scale mixture of normal distributions.

Consider an estimation problem under the squared-log error loss function in a one-parameter non-regular distribution when the endpoint of the support depends on an unknown parameter. The purpose of this paper is to give sufficient conditions for a generalized Bayes estimator of a parametric...

We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...