Multivariate limited translation hierarchical Bayes estimators

JOURNAL OF MULTIVARIATE ANALYSIS

卷:100

Article

Ghosh, Malay¹  Papageorgiou, Georgios¹  Forrester, Janet² 

[1] Univ Florida, Dept Stat, Gainesville, FL 32611 USA

[2] Tufts Univ, Sch Med, Boston, MA 02111 USA

关键词: Bayes risk;    Frequentist risk;    g-prior;    Influence function;    Relevance function;   

DOI  :  10.1016/j.jmva.2008.12.010

来源: Elsevier

【 摘 要 】

Based on the no tion of predictive influence functions, the paper develops multivariate limited translation hierarchical Bayes estimators of the normal mean vector which serve as a compromise between the hierarchical Bayes and maximum likelihood estimators. The paper demonstrates the superiority of the limited translation estimators over the usual hierarchical Bayes estimators in terms of the frequentist risks when the true parameter to be estimated departs widely from the grand average of all the parameters. (c) 2008 Elsevier Inc. All rights reserved.

【 授权许可】

Free