Bayesian simultaneous estimation for means in k-sample problems

Ryo Imai, Tatsuya Kubokawa and Malay Ghosh

Journal of Multivariate Analysis, 2019, vol. 169, issue C, 49-60

Abstract: This paper is concerned with the simultaneous estimation of k population means when one suspects that the k means are nearly equal. As an alternative to the preliminary test estimator based on the test statistics for testing hypothesis of equal means, we derive Bayesian and minimax estimators which shrink individual sample means toward a pooled mean estimator given under the hypothesis. It is shown that both the preliminary test estimator and the Bayesian minimax shrinkage estimators are further improved by shrinking the pooled mean estimator. The performance of the proposed shrinkage estimators is investigated by simulation.

Keywords: Bayes estimator; Empirical Bayes; k-sample problem; Minimaxity; Quadratic loss; Shrinkage estimator (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:169:y:2019:i:c:p:49-60

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DOI: 10.1016/j.jmva.2018.08.013

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