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    Multivariate limited translation empirical Bayes estimators

    Papageorgiou, Georgios and Ghosh, M. (2010) Multivariate limited translation empirical Bayes estimators. Journal of Statistical Planning and Inference 140 (5), pp. 1320-1329. ISSN 0378-3758.

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    Abstract

    The paper develops multivariate limited translation empirical Bayes estimators of the normal mean vector which serve as a compromise between the empirical Bayes and the maximum likelihood estimators. These compromise estimators perform better than the regular empirical Bayes estimators, in a frequentist sense, when there is wide departure of an individual observation from the grand average.

    Metadata

    Item Type: Article
    Keyword(s) / Subject(s): Bayes risk, Empirical Bayes, Frequentist risk, MLE, Relevance function, Robustness
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Georgios Papageorgiou
    Date Deposited: 16 Sep 2013 09:04
    Last Modified: 14 Feb 2021 01:57
    URI: https://eprints.bbk.ac.uk/id/eprint/8107

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