A contrast of EB, modal and EM-algorithm estimates arising in the one-way analysis of variance situation

Irwin Guttman

Statistics & Probability Letters, 2000, vol. 48, issue 1, 33-58

Abstract: This paper explores the question of the choice of whether to use a joint posterior or a marginal posterior as basis for analysis with respect to various parameters of interest. It turns out that in the one-way analysis of variance situation there is an optimal choice. Connections with Empirical Bayes estimation is stressed as well as the use of the EM-algorithm. We demonstrate that for the latter, care must be taken with the choice of parameters to be declared "missing", for a wrong choice could lead to inconsistent estimators or estimators with poor mean-square behaviour. The discussion is in the context of one-way analysis of variance.

Keywords: Analysis; of; variance; Posterior; analysis; Modal; estimation; Empirical; Bayes; estimates; EM-algorithm (search for similar items in EconPapers)
Date: 2000
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