The empirical Bayes estimators of the mean and variance parameters of the normal distribution with a conjugate normal-inverse-gamma prior by the moment method and the MLE method

被引：13

作者：

Zhang, Ying-Ying ^{[1
]}

Rong, Teng-Zhong ^{[1
]}

Li, Man-Man ^{[1
]}

机构：

[1] Chongqing Univ, Coll Math & Stat, Dept Stat & Actuarial Sci, Chongqing 401331, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2019年 / 48卷 / 09期

基金：

中国国家自然科学基金;

关键词：

Empirical bayes estimators; moment method; maximum likelihood estimation (MLE) method; normal distribution with normal-inverse-gamma prior; non standardized student-t distribution; 62C12; 62F10; 62F15; MODELS;

D O I：

10.1080/03610926.2018.1465081

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Most of the samples in the real world are from the normal distributions with unknown mean and variance, for which it is common to assume a conjugate normal-inverse-gamma prior. We calculate the empirical Bayes estimators of the mean and variance parameters of the normal distribution with a conjugate normal-inverse-gamma prior by the moment method and the Maximum Likelihood Estimation (MLE) method in two theorems. After that, we illustrate the two theorems for the monthly simple returns of the Shanghai Stock Exchange Composite Index.

引用

页码：2286 / 2304

页数：19

共 12 条

[1] The empirical Bayes estimators of the variance parameter of the normal distribution with a conjugate inverse gamma prior under Stein's loss function
Zhang, Ying-Ying
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[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2024, 53 (01) : 170 - 200
[2] The empirical Bayes estimators of the rate parameter of the inverse gamma distribution with a conjugate inverse gamma prior under Stein's loss function
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[J]. FRONTIERS IN BIG DATA, 2022, 4
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[J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2024,
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[J]. JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2019, 89 (16) : 3061 - 3074
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[J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2024, 53 (06) : 3027 - 3045
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Thuntida Ngamkham
Chom Panta
[J]. Lobachevskii Journal of Mathematics, 2023, 44 : 4790 - 4797

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