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A contrast of EB, modal and EM-algorithm estimates arising in the one-way analysis of variance situation

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  • Guttman, Irwin

Abstract

This paper explores the question of the choice of whether to use a joint posterior or a marginal posterior as basis for analysis with respect to various parameters of interest. It turns out that in the one-way analysis of variance situation there is an optimal choice. Connections with Empirical Bayes estimation is stressed as well as the use of the EM-algorithm. We demonstrate that for the latter, care must be taken with the choice of parameters to be declared "missing", for a wrong choice could lead to inconsistent estimators or estimators with poor mean-square behaviour. The discussion is in the context of one-way analysis of variance.

Suggested Citation

  • Guttman, Irwin, 2000. "A contrast of EB, modal and EM-algorithm estimates arising in the one-way analysis of variance situation," Statistics & Probability Letters, Elsevier, vol. 48(1), pages 33-58, May.
    • Handle: RePEc:eee:stapro:v:48:y:2000:i:1:p:33-58
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