Minimum Message Length shrinkage estimation

Abstract

This note considers estimation of the mean of a multivariate Gaussian distribution with known variance within the Minimum Message Length (MML) framework. Interestingly, the resulting MML estimator exactly coincides with the positive-part James-Stein estimator under the choice of an uninformative prior. A new approach for estimating parameters and hyperparameters in general hierarchical Bayes models is also presented. Crown Copyright © 2009.