Bayesian input in Stein estimation and a new minimax empirical Bayes estimator
Publication
, Journal Article
Berger, J; Berliner, LM
Published in: Journal of Econometrics
January 1, 1984
The relationship between Stein estimation of a multivariate normal mean and Bayesian analysis is considered. The necessity to involve prior information is discussed, and the various methods of so doing are reviewed. These include direct Bayesian analyses, ad hoc utilization of prior information, restricted class Bayesian and Γ-minimax analyses, and Type II maximum likelihood (empirical Bayes) methods. A new empirical Bayes Stein-type estimator is developed, via the latter method, for an interesting ε{lunate}-contamination class of priors, and is shown to be minimax under reasonable conditions. The minimax proof contains some novel theoretical features. © 1984.
Duke Scholars
Published In
Journal of Econometrics
DOI
ISSN
0304-4076
Publication Date
January 1, 1984
Volume
25
Issue
1-2
Start / End Page
87 / 108
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics
Citation
APA
Chicago
ICMJE
MLA
NLM
Berger, J., & Berliner, L. M. (1984). Bayesian input in Stein estimation and a new minimax empirical Bayes estimator. Journal of Econometrics, 25(1–2), 87–108. https://doi.org/10.1016/0304-4076(84)90039-3
Berger, J., and L. M. Berliner. “Bayesian input in Stein estimation and a new minimax empirical Bayes estimator.” Journal of Econometrics 25, no. 1–2 (January 1, 1984): 87–108. https://doi.org/10.1016/0304-4076(84)90039-3.
Berger J, Berliner LM. Bayesian input in Stein estimation and a new minimax empirical Bayes estimator. Journal of Econometrics. 1984 Jan 1;25(1–2):87–108.
Berger, J., and L. M. Berliner. “Bayesian input in Stein estimation and a new minimax empirical Bayes estimator.” Journal of Econometrics, vol. 25, no. 1–2, Jan. 1984, pp. 87–108. Scopus, doi:10.1016/0304-4076(84)90039-3.
Berger J, Berliner LM. Bayesian input in Stein estimation and a new minimax empirical Bayes estimator. Journal of Econometrics. 1984 Jan 1;25(1–2):87–108.
Published In
Journal of Econometrics
DOI
ISSN
0304-4076
Publication Date
January 1, 1984
Volume
25
Issue
1-2
Start / End Page
87 / 108
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics