Nonparametric empirical Bayes and compound decision approaches to estimation of a high-dimensional vector of normal means

Lawrence D. Brown, Eitan Greenshtein

We consider the classical problem of estimating a vector $\boldsμ=(μ_1,...,μ_n)$ based on independent observations $Y_i\sim N({\mu }_i,1)$, $i=1,...,n$. Suppose ${\mu }_i$, $i=1,...,n$ are i…