Point Estimation and Confidence Set in a Parallelism Model: an Empirical Bayes Approach

When several simple regression models are assumed to have similar slopes, empirical Bayes methods can efficiently process tis vague information by estimating the hyperparameters of a conjugate prior. The shrinkage estimators we obtain are shown to be minimax and, furthermore, dominate usual confidence regions in terms of coverage probability.

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Year of publication:	1991
Authors:	ROBERT, Christian ; SALEH, A. K. Md. Ehsanes
Published in:	Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1991, 23, p. 65-89
Publisher:	École Nationale de la Statistique et de l'Admnistration Économique (ENSAE)

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005078841