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http://dx.doi.org/10.5351/CSAM.2015.22.6.531

How to Improve Classical Estimators via Linear Bayes Method?  

Wang, Lichun (Department of Mathematics, Beijing Jiaotong University)
Publication Information
Communications for Statistical Applications and Methods / v.22, no.6, 2015 , pp. 531-542 More about this Journal
Abstract
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.
Keywords
linear Bayes method; MCMC method; MSEM criterion; normal linear model; two-parameter exponential family; uniform distribution; inverse Gaussian distribution;
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