Empirical and hierarchical bayes competitors of preliminary test estimators in two sample problems

Malay Ghosh and Bimal K. Sinha

Journal of Multivariate Analysis, 1988, vol. 27, issue 1, 206-227

Abstract: We consider the problem of estimation of [mu]1 when it is suspected that [mu]1 [approximate] [mu]2 based on independent samples from Np([mu]1, [sigma]2V1) and Np([mu]2, [sigma]2V2). We assume V1, V2 known but [sigma]2 unknown. First, the EB estimator is derived and its Bayesian and frequentist properties are studied. Second, a modified EB estimator is proposed and shown to dominate a preliminary test estimator. Finally, a hierarchical Bayes approach is proposed as an alternative to EB estimators.

Keywords: empirical; Bayes; estimator; hierarchical; Bayes; estimator; preliminary; test; estimator; Bayes; risk; frequentist; risk (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (2)

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