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Stability of the posterior mean in linear models An admissibility property of D-optimum and E-optimum designs

Stability (robustness) of the Bayes estimates in linear models is considered. As measures of stability, the volume and the diameter of the ellipsoid of the posterior mean are proposed. The classes of priors of interest are sets of normal probability distributions with varying covariance matrices. The admissibility property of D-optimum and E-optimum designs under an optimality concept generated by the robustness idea is stated.
Year of publication:
1997
Authors: Meczarski, Marek ; Zielinski, Ryszard
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 33.1997, 2, p. 117-123
Publisher: Elsevier
Keywords: Bayesian estimation Classes of priors Stable estimation Measures of robustness D-optimum and E-optimum design
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005138293
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