Bayes empirical Bayes estimation of a poisson mean

Tze Fen Li

Statistics & Probability Letters, 1985, vol. 3, issue 6, 309-313

Abstract: In the empirical Bayes (EB) decision problem consisting of squared error estimation of a Poisson mean, a prior distribution [lambda] is placed on the gamma family of prior distributions to produce Bayes EB estimators which are admissible. A subclass of such estimators is shown to be asymptotically optimal (a.o.). The results of a Monte Carlo study are presented to demonstrate the favorable a.o. property of the Bayes EB estimators in comparison with other competitors.

Keywords: admissible; asymptotic; optimality; empirical; Bayes (search for similar items in EconPapers)
Date: 1985
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