|
|||||
|
|
Superiority of empirical Bayes estimation of error variance in linear model |
|
| Authors: | Ling Chen Laisheng Wei |
| Institution: | 1. Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China; 2. School of Mathematical Science, Anhui University, Hefei 230039, China |
| Abstract: | In this paper, the Bayes estimator of the error variance is derived in a linear regression model, and the parametric empirical Bayes estimator (PEBE) is constructed. The superiority of the PEBE over the least squares estimator (LSE) is investigated under the mean square error (MSE) criterion. Finally, some simulation results for the PEBE are obtained. |
| Keywords: | Linear regression model error variance parametric empirical Bayes estimation mean square error criterion simulation result |
| 本文献已被 SpringerLink 等数据库收录！ | |
| 点击此处可从《Frontiers of Mathematics in China》浏览原始摘要信息 | |
| 点击此处可从《Frontiers of Mathematics in China》下载免费的PDF全文 | |