Superiority of empirical Bayes estimation of error variance in linear model

被引：2

作者：

Chen, Ling ^{[1
,2
]}

Wei, Laisheng ^{[1
]}

机构：

[1] Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R China

[2] Anhui Univ, Sch Math Sci, Hefei 230039, Peoples R China

来源：

FRONTIERS OF MATHEMATICS IN CHINA | 2012年 / 7卷 / 04期

基金：

中国国家自然科学基金;

关键词：

Linear regression model; error variance; parametric empirical Bayes estimation; mean square error criterion; simulation result; REGRESSION MODEL;

D O I：

10.1007/s11464-012-0198-1

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, the Bayes estimator of the error variance is derived in a linear regression model, and the parametric empirical Bayes estimator (PEBE) is constructed. The superiority of the PEBE over the least squares estimator (LSE) is investigated under the mean square error (MSE) criterion. Finally, some simulation results for the PEBE are obtained.

引用

页码：629 / 644

页数：16

共 50 条

[1] Superiority of empirical Bayes estimation of error variance in linear model
Ling Chen
Laisheng Wei
Frontiers of Mathematics in China, 2012, 7 : 629 - 644
[2] THE SUPERIORITY OF EMPIRICAL BAYES ESTIMATION OF PARAMETERS IN PARTITIONED NORMAL LINEAR MODEL
张伟平
韦来生
ActaMathematicaScientia, 2008, (04) : 955 - 962
[3] THE SUPERIORITY OF EMPIRICAL BAYES ESTIMATION OF PARAMETERS IN PARTITIONED NORMAL LINEAR MODEL
Zhang Weiping
Wei Laisheng
ACTA MATHEMATICA SCIENTIA, 2008, 28 (04) : 955 - 962
[4] The superiority of empirical Bayes estimator of parameters in linear model
Zhang, WP
Wei, LS
Yang, YN
STATISTICS & PROBABILITY LETTERS, 2005, 72 (01) : 43 - 50
[5] EMPIRICAL BAYES ESTIMATION OF OBSERVATION ERROR VARIANCES IN LINEAR SYSTEMS
MARTZ, HF
BORN, GH
AIAA JOURNAL, 1971, 9 (06) : 1183 - +
[6] On empirical Bayes estimation of variance components in random effects model
Wei, LS
Ding, X
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2004, 123 (02) : 347 - 364
[7] Empirical Bayes estimation and its superiority for two-way classification model
Wei, LS
Chen, JH
STATISTICS & PROBABILITY LETTERS, 2003, 63 (02) : 165 - 175
[8] The Superiorities of Empirical Bayes Estimation of Variance Components in Random Effects Model
Chen, Ling
Wei, Laisheng
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2013, 42 (22) : 4017 - 4033
[9] EMPIRICAL BAYES ESTIMATION IN A MULTIPLE LINEAR-REGRESSION MODEL
SINGH, RS
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1985, 37 (01) : 71 - 86
[10] SMOOTH EMPIRICAL BAYES ESTIMATION OF OBSERVATION ERROR VARIANCES IN LINEAR-SYSTEMS
MARTZ, HF
LIAN, MW
AIAA JOURNAL, 1972, 10 (07) : 956 - &

← 1 2 3 4 5 →