Empirical bayes estimation in regression model

被引：0

作者：

Wang L.-C. ^{[1
]}

机构：

[1] Department of Mathematics, School of Sciences, Beijing Jiaotong University

来源：

Acta Mathematicae Applicatae Sinica | 2005年 / 21卷 / 4期

关键词：

Empirical bayes; Linear regression; MSEM criterion; PC criterion;

D O I：

10.1007/s10255-005-0262-7

中图分类号：

学科分类号：

摘要：

This paper considers the empirical Bayes (EB) estimation problem for the parameter β of the linear regression model y = Xβ + ε with ε ∼ N(0, σ2 I) given β. Based on Pitman closeness (PC) criterion and mean square error matrix (MSEM) criterion, we prove the superiority of the EB estimator over the ordinary least square estimator (OLSE). © Springer-Verlag 2005.

引用

页码：537 / 544

页数：7

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