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.