Fourier transform and Bayes estimator of a location parameter

Jean-François Angers

Statistics & Probability Letters, 1996, vol. 29, issue 4, 353-359

Abstract: In this paper, we illustrate how the Fourier transform can be used to compute the posterior mean and variance of a location parameter when its prior belongs to a location-scale family of densities. Furthermore, if the likelihood function satisfies some conditions, an estimator of the frequentist risk is also derived. An example of the proposed methodology is also discussed.

Keywords: Fourier; transform; Location; parameter; Convolution (search for similar items in EconPapers)
Date: 1996
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