Pitman closeness properties of Bayes shrinkage procedures in estimation and prediction

被引：1
|
作者：
Matsuda, Takeru [1 ]
Strawderman, William E. [2 ]
机构：
[1] Univ Tokyo, Grad Sch Informat Sci & Technol, Tokyo, Japan
[2] Rutgers State Univ, Dept Stat & Biostat, New Brunswick, NJ USA
来源：
STATISTICS & PROBABILITY LETTERS | 2016年 / 119卷
关键词：
Pitman closeness; Predictive density; Point estimation; Bayes; Superharmonic prior; Stein prior; MINIMAX ESTIMATORS; DENSITIES;
D O I：
10.1016/j.spl.2016.07.005
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Pitman closeness for Bayes shrinkage procedures in normal models are investigated. In point estimation, priors in the Strawderman class dominate the uniform prior. In predictive density estimation, spherically symmetric superharmonic priors dominate the uniform prior under log loss. (C) 2016 Elsevier B.V. All rights reserved.
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页码：21 / 29
页数：9
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