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    Multivariate limited translation hierarchical Bayes estimators

    Ghosh, M. and Papageorgiou, Georgios and Forrester, J. (2009) Multivariate limited translation hierarchical Bayes estimators. Journal of Multivariate Analysis 100 (7), pp. 1398-1411. ISSN 0047-259X.

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    Abstract

    Based on the notion of predictive influence functions, the paper develops multivariate limited translation hierarchical Bayes estimators of the normal mean vector which serve as a compromise between the hierarchical Bayes and maximum likelihood estimators. The paper demonstrates the superiority of the limited translation estimators over the usual hierarchical Bayes estimators in terms of the frequentist risks when the true parameter to be estimated departs widely from the grand average of all the parameters.

    Metadata

    Item Type: Article
    Keyword(s) / Subject(s): Bayes risk, Frequentist risk, g-prior, Influence function, Relevance function
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Georgios Papageorgiou
    Date Deposited: 09 Dec 2013 15:30
    Last Modified: 30 Jul 2019 05:44
    URI: http://eprints.bbk.ac.uk/id/eprint/8792

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