Fourier transform and Bayes estimator of a location parameter

In this paper, we illustrate how the Fourier transform can be used to compute the posterior mean and variance of a location parameter when its prior belongs to a location-scale family of densities. Furthermore, if the likelihood function satisfies some conditions, an estimator of the frequentist risk is also derived. An example of the proposed methodology is also discussed.

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Year of publication:	1996
Authors:	Angers, Jean-François
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 29.1996, 4, p. 353-359
Publisher:	Elsevier
Subject:	Fourier transform Location parameter Convolution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254201