On Bayes and unbiased estimators of loss

We consider estimation of loss for generalized Bayes or pseudo-Bayes estimators of a multivariate normal mean vector, θ. In 3 and higher dimensions, the MLEX is UMVUE and minimax but is inadmissible. It is dominated by the James-Stein estimator and by many others. Johnstone (1988, On inadmissibility of some unbiased estimates of loss,Statistical Decision Theory and Related Topics, IV (eds. S. S. Gupta and J. O. Berger), Vol. 1, 361–379, Springer, New York) considered the estimation of loss for the usual estimatorX and the James-Stein estimator. He found improvements over the Stein unbiased estimator of risk. In this paper, for a generalized Bayes point estimator of θ, we compare generalized Bayes estimators to unbiased estimators of loss. We find, somewhat surprisingly, that the unbiased estimator often dominates the corresponding generalized Bayes estimator of loss for priors which give minimax estimators in the original point estimation problem. In particular, we give a class of priors for which the generalized Bayes estimator of θ is admissible and minimax but for which the unbiased estimator of loss dominates the generalized Bayes estimator of loss. We also give a general inadmissibility result for a generalized Bayes estimator of loss. Research supported by NSF Grant DMS-97-04524.     

Locally Adaptive Wavelet Empirical Bayes Estimation of a Location Parameter

The traditional empirical Bayes (EB) model is considered with the parameter being a location parameter, in the situation when the Bayes estimator has a finite degree of smoothness and, possibly, jump discontinuities at several points. A nonlinear wavelet EB estimator based on wavelets with bounded supports is constructed, and it is shown that a finite number of jump discontinuities in the Bayes estimator do not affect the rate of convergence of the prior risk of the EB estimator to zero. It is also demonstrated that the estimator adjusts to the degree of smoothness of the Bayes estimator, locally, so that outside the neighborhoods of the points of discontinuities, the posterior risk has a high rate of convergence to zero. Hence, the technique suggested in the paper provides estimators which are significantly superior in several respects to those constructed earlier.     

Bayes估计的进一步研究及其Pitman最优性

对线性模型参数,讨论了Bayes估计的Pitman最优性,将已有结果进行了改进,去掉了附加条件,证明了在Pitman准则下,Bayes估计一致优于最小二乘估计(LSE),在此基础上,提出了一种基于先验信息的方差分量估计,通过和基于LSE的方差分量估计作比较,证明了新估计是无偏估计且有更小的均方误差．最后,证明了在Pitman准则下生长曲线模型参数的Bayes估计优于最佳线性无偏估计．     

Optimal volume-corrected laplace-metropolis method

The article provides a refinement for the volume-corrected Laplace-Metropolis estimator of the marginal likelihood of DiCiccioet al. The correction volume of probability α in DiCiccioet al. is fixed and suggested to take the value α=0.05. In this article α is selected based on an asymptotic analysis to minimize the mean square relative error (MSRE). This optimal choice of α is shown to be invariant under linear transformations. The invariance property leads to easy implementation for multivariate problems. An implementation procedure is provided for practical use. A simulation study and a real data example are presented.     

The asymptotic equivalence of Bayes and maximum likelihood estimation

Let (X, $\text{A}$) be a measurable space, Θ ? $\text{R}$ an open interval and P_Ω ∥ $\text{A}$, Ω ? Θ, a family of probability measures fulfilling certain regularity conditions. Let $\text{Ω}{}_{\mathrm{n}}$ be the maximum likelihood estimate for the sample size n. Let λ be a prior distribution on Θ and let $\text{R}{}_{\mathrm{<mtext>n,</mtext><mtext>x</mtext>}}$ be the posterior distribution for the sample size n given $\text{x}\text{? X}{}^{\mathrm{n}}$. $\text{L:}\text{Θ}\text{× Θ →}\text{R}$ denotes a loss function fulfilling certain regularity conditions and T_n denotes the Bayes estimate relative to λ and L for the sample size n. It is proved that for every compact K ? Θ there exists c_K ≥ 0 such that

This theorem improves results of Bickel and Yahav [3], and Ibragimov and Has'minskii [4], as far as the speed of convergence is concerned.     

基于RST-QFD-Bayes的新型装甲装备通用质量特性评价指标体系构建研究

针对新型装甲装备通用质量特性评价指标体系难以确定的问题,在明确评价指标体系构建原则的基础上,结合新型装甲装备特点,确定了通用质量特性初始评价指标及指标筛选要求,运用QFD将新型装甲装备通用质量特性需求映射为评价指标筛选要求,采用粗糙集理论(Rough Set Theory,RST)确定了指标筛选重要度,考虑到关联度的不确定性及多个专家估计值的平均值和估计值的波动程度,将贝叶斯理论引入关系矩阵的确定中,用区间数确定了关联度,进行了评价指标筛选,构建了新型装甲装备通用质量特性评价指标体系,为新型装甲装备通用质量特性评价奠定了基础。     

公共安全视域下精神药物光谱学无损分类

该文对苯二氮类和吩噻嗪类镇静安眠药样品的红外光谱数据进行采集,构建了不同数据分类模型并对比了不同波段光谱数据集对其分析准确率的影响。结果表明,借助贝叶斯判别分析的基于全波段数据集的二阶导数模型分类效果优于其他单一模型,对于苯二氮类和吩噻嗪类两个不同类型精神药物的总体分类准确率达92.7%。借助贝叶斯判别分析的基于全波段和指纹区融合数据集的二阶导数融合模型分类效果最佳,对苯二氮类和吩噻嗪类两个不同类型精神药物的总体分类准确率达到100%;对苯二氮类和吩噻嗪类中不同种类精神药物的总体分类准确率则分别达到96.7%和100%。该研究实现了不同类型及同一类型不同种类镇静安眠药的快速准确定性分析,为此类管制类药物走私案件的准确定性提供了一定的技术支持。     

一类单边截断型分布族参数的经验Bayes检验

讨论一类单边截断型分布族位置参数的经验Ｂａｙｅｓ检验问题，文中构造了经验Ｂａｙｅｓ判决函数，证明了它具有渐近最优的性质，并且获得了收敛速度。     

定时截尾指数模型验前多数的确定

研究在定时有替换截尾试验下，指数模型点估计的验前参数的确定方法，讨论了验前参数的有关性质并给出了确定验前参数取值适合域的方法．最后用例子说明Ｂａｙｅｓ估计“优于”经典估计．     

Testing Hypotheses About the Power Law Process Under Failure Truncation Using Intrinsic Bayes Factors

Conventional Bayes factors for hypotheses testing cannot typically accommodate the use of standard noninformative priors, as such priors are defined only up to arbitrary constants which affect the values of the Bayes factors. To circumvent this problem, Berger and Pericchi (1996, J. Amer. Statist. Assoc., 19, 109-122) introduced a new criterion called the Intrinsic Bayes Factor (IBF). In this paper, we use their methodology to test several hypotheses regarding the shape parameter of the power law process. Assuming that we have data from the process according to the failure-truncation sampling scheme, we derive the arithmetic and geometric IBF's using the reference priors. We deduce a set of intrinsic priors that correspond to these IBF's, as the observed number of failures tends to infinity. We then use these results to analyze an actual data set on the failures of an aircraft generator.