Large-Scale Shrinkage Estimation under Markovian Dependence

• URL: http://arxiv.org/abs/2003.01873v2
• Date: Thu, 12 Mar 2020 23:25:16 GMT
• Title: Large-Scale Shrinkage Estimation under Markovian Dependence
• Authors: Bowen Gang, Gourab Mukherjee and Wenguang Sun
• Abstract summary: We consider the problem of simultaneous estimation of a sequence of dependent parameters that are generated from a hidden Markov model. We study the roles of statistical shrinkage for improved estimation of these dependent parameters. Our proposed method elegantly combines non-parametric shrinkage ideas with efficient estimation of the hidden states under Markovian dependence.
• Score: 0.348062676775249
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We consider the problem of simultaneous estimation of a sequence of dependent parameters that are generated from a hidden Markov model. Based on observing a noise contaminated vector of observations from such a sequence model, we consider simultaneous estimation of all the parameters irrespective of their hidden states under square error loss. We study the roles of statistical shrinkage for improved estimation of these dependent parameters. Being completely agnostic on the distributional properties of the unknown underlying Hidden Markov model, we develop a novel non-parametric shrinkage algorithm. Our proposed method elegantly combines \textit{Tweedie}-based non-parametric shrinkage ideas with efficient estimation of the hidden states under Markovian dependence. Based on extensive numerical experiments, we establish superior performance our our proposed algorithm compared to non-shrinkage based state-of-the-art parametric as well as non-parametric algorithms used in hidden Markov models. We provide decision theoretic properties of our methodology and exhibit its enhanced efficacy over popular shrinkage methods built under independence. We demonstrate the application of our methodology on real-world datasets for analyzing of temporally dependent social and economic indicators such as search trends and unemployment rates as well as estimating spatially dependent Copy Number Variations.

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