Advantages of Certain Bayes Estimators as Preferred Alternatives to Frequentist Methods

Mojtaba Ganjali () and Taban Baghfalaki ()
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Mojtaba Ganjali: Shahid Beheshti University
Taban Baghfalaki: The University of Manchester

Sankhya A: The Indian Journal of Statistics, 2025, vol. 87, issue 2, No 12, 616-642

Abstract: Abstract In this paper, additional examples are provided to highlight the application of the Bayesian approach in situations where a specific frequentist method fails to offer a solution to the problem or produces an estimate that does not capture the full range of the estimand. This is known as “producing absurd estimates by that specific method", by the classical approach. In these examples, analytical Bayesian solutions may be found in some cases, while in others, Bayesian numerical solutions can be obtained through the use of the R programming language (or OpenBUGS or JAGS software) using the Gibbs sampler.

Keywords: Absurd estimator; Bayes estimator; Maximum likelihood estimator (MLE); Minimax; Risk function; Uniformly minimum variance unbiased estimator (UMVUE) (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s13171-025-00385-x

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