The superiority of empirical Bayes estimator of parameters in linear model

In this paper, an empirical Bayes (EB) estimator is derived for the estimable functions of the parameters in normal linear model. The superiority of the EB estimator over ordinary least-squares (LS) estimator is investigated under mean square error matrix (MSEM) criterion.

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Year of publication:	2005
Authors:	Zhang, Weiping ; Wei, Laisheng ; Yang, Yaning
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 72.2005, 1, p. 43-50
Publisher:	Elsevier
Keywords:	Linear model Empirical Bayes estimator Least-squares estimator Mean-square error matrix

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

Persistent link: https://www.econbiz.de/10005313847