ROBUST HIERARCHICAL BAYES ESTIMATION OF EXCHANGEABLE MEANS

被引：10
作者：
ANGERS, JF
BERGER, JO
机构：
[1] UNIV MONTREAL,DEPT MATH & STAT,MONTREAL H3C 3J7,QUEBEC,CANADA
[2] PURDUE UNIV,DEPT STAT,W LAFAYETTE,IN 47907
来源：
CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE | 1991年 / 19卷 / 01期
关键词：
ROBUST ESTIMATOR; BAYES ESTIMATOR; HIERARCHICAL BAYES; NORMAL-CAUCHY CONVOLUTION; MONTE-CARLO SIMULATION;
D O I：
10.2307/3315535
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：
Estimation of the mean of a multivariate normal distribution is considered. The components of the mean vector THETA are assumed to be exchangeable; this is modelled in a hierarchical fashion with independent Cauchy distributions as the first-stage prior. The resulting generalized Bayes estimator is calculated and shown to be robust with respect to the presence of outlying means. Alternative estimators that have similar behaviour but are cheaper to compute are also derived.
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页码：39 / 56
页数：18
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