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Multivariate limited translation hierarchical Bayes estimators

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Author Info
Ghosh, Malay
Papageorgiou, Georgios
Forrester, Janet
Abstract

Based on the notion 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.

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File URL: http://www.sciencedirect.com/science/article/B6WK9-4V76203-2/2/1a204d5ca8f51a916e7a58eb4469075b
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Publisher Info
Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 100 (2009)
Issue (Month): 7 (August)
Pages: 1398-1411
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Handle: RePEc:eee:jmvana:v:100:y:2009:i:7:p:1398-1411

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Related research
Keywords: Bayes risk Frequentist risk g-prior Influence function Relevance function;

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This page was last updated on 2009-12-30.

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