The superiority of empirical Bayes estimator of parameters in linear model
AbstractIn this paper, an empirical Bayes (EB) estimator is derived for the estimable functions of the parameters in normal linear model. The superiority of the EB estimator over ordinary least-squares (LS) estimator is investigated under mean square error matrix (MSEM) criterion.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 72 (2005)
Issue (Month): 1 (April)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Wei, Laisheng & Chen, Jiahua, 2003. "Empirical Bayes estimation and its superiority for two-way classification model," Statistics & Probability Letters, Elsevier, vol. 63(2), pages 165-175, June.
- Laisheng Wei & Shunpu Zhang, 1995. "The convergence rates of empirical Bayes estimation in a multiple linear regression model," Annals of the Institute of Statistical Mathematics, Springer, vol. 47(1), pages 81-97, January.
- L. Wei & G. Trenkler, 1995. "Mean square error matrix superiority of Empirical Bayes Estimators under misspecification," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 4(1), pages 187-205, June.
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