Pitman closeness properties of Bayes shrinkage procedures in estimation and prediction

Takeru Matsuda and William E. Strawderman

Statistics & Probability Letters, 2016, vol. 119, issue C, 21-29

Abstract: Pitman closeness for Bayes shrinkage procedures in normal models are investigated. In point estimation, priors in the Strawderman class dominate the uniform prior. In predictive density estimation, spherically symmetric superharmonic priors dominate the uniform prior under log loss.

Keywords: Pitman closeness; Predictive density; Point estimation; Bayes; Superharmonic prior; Stein prior (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:119:y:2016:i:c:p:21-29

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DOI: 10.1016/j.spl.2016.07.005

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