Empirical Bayes improvement of Kalman filter type of estimators

E. Greenshtein, A. Mansura, Y. Ritov

We consider the problem of estimating the means ${\mu }_i$ of $n$ random variables $Y_i\sim N({\mu }_i,1)$, $i=1,\dots ,n$. Assuming some structure on the $\mu$ process, e.g., a state space…