| Empirical Bayes Estimation in Regression Model |
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| 作者姓名： | Li-chun Wang |
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| 作者单位： | Department of Mathematics, School of Sciences, Beijing Jiaotong University, Beijing 100044, China |
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| 基金项目： | Supported by Science and Technology Foundation of Beijing Jiaotong University （No.2005RC029）. |
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| 摘 要： | This paper considers the empirical Bayes （EB） estimation problem for the parameter β of the linear regression model y = Xβ＋ ε with ε- N（0, σ^2I） given β. Based on Pitman closeness （PC） criterion and mean square error matrix （MSEM） criterion, we prove the superiority of the EB estimator over the ordinary least square estimator （OLSE）.
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| 关 键 词： | 线性衰退 Bayes估计 PC标准 MSEM标准 误差矩阵 |
| 收稿时间： | 2003-06-07 |
| 修稿时间： | 2003-06-072005-05-17 |
Empirical Bayes Estimation in Regression Model |
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| Li-chun Wang.Empirical Bayes Estimation in Regression Model[J].Acta Mathematicae Applicatae Sinica,2005,21(4):537-544. |
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| Authors: | Li-chun Wang |
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| Institution: | (1) Department of Mathematics, School of Sciences, Beijing Jiaotong University, Beijing 100044, China |
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| Abstract: | Abstract
This paper considers the empirical Bayes (EB) estimation problem for the parameter β of the linear regression model y = Xβ + ε with ε ∼ N(0, σ2
I) given β. Based on Pitman closeness (PC) criterion and mean square error matrix (MSEM) criterion, we prove the superiority
of the EB estimator over the ordinary least square estimator (OLSE).
Supported by Science and Technology Foundation of Beijing Jiaotong University (No.2005RC029). |
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| Keywords: | Linear regression empirical bayes PC criterion MSEM criterion |
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