Bayes empirical Bayes estimation of a poisson mean |
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Affiliation: | Department of Mathematics, Rutgers University, Camdem, NJ 08102, USA |
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Abstract: | In the empirical Bayes (EB) decision problem consisting of squared error estimation of a Poisson mean, a prior distribution λ is placed on the gamma family of prior distributions to produce Bayes EB estimators which are admissible. A subclass of such estimators is shown to be asymptotically optimal (a.o.). The results of a Monte Carlo study are presented to demonstrate the favorable a.o. property of the Bayes EB estimators in comparison with other competitors. |
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Keywords: | admissible asymptotic optimality empirical Bayes |
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