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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.
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scale invariant loss function. A general minimaxity result is proved and a class of minimax estimators is derived. An … admissibility result is proved in this class. Further a class of equivariant estimators with respect to a subgroup of affine group …
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We investigate the problem of estimating the Cholesky decomposition in a conditional independent normal model with missing data. Explicit expressions for the maximum likelihood estimators and unbiased estimators are derived. By introducing a special group, we obtain the best equivariant estimators.
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