Communications for Statistical Applications and Methods

  • 제22권6호
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  • Pages.531-542
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  • 2015
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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How to Improve Classical Estimators via Linear Bayes Method?

  • Wang, Lichun (Department of Mathematics, Beijing Jiaotong University)
  • 투고 : 2015.10.17
  • 심사 : 2015.10.26
  • 발행 : 2015.11.30
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초록

In this survey, we use the normal linear model to demonstrate the use of the linear Bayes method. The superiorities of linear Bayes estimator (LBE) over the classical UMVUE and MLE are established in terms of the mean squared error matrix (MSEM) criterion. Compared with the usual Bayes estimator (obtained by the MCMC method) the proposed LBE is simple and easy to use with numerical results presented to illustrate its performance. We also examine the applications of linear Bayes method to some other distributions including two-parameter exponential family, uniform distribution and inverse Gaussian distribution, and finally make some remarks.

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참고문헌

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