The empirical Bayes estimators of the mean and variance parameters of the normal distribution with a conjugate normal-inverse-gamma prior by the moment method and the MLE method

Ying-Ying Zhang, Teng-Zhong Rong and Man-Man Li

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 9, 2286-2304

Abstract: Most of the samples in the real world are from the normal distributions with unknown mean and variance, for which it is common to assume a conjugate normal-inverse-gamma prior. We calculate the empirical Bayes estimators of the mean and variance parameters of the normal distribution with a conjugate normal-inverse-gamma prior by the moment method and the Maximum Likelihood Estimation (MLE) method in two theorems. After that, we illustrate the two theorems for the monthly simple returns of the Shanghai Stock Exchange Composite Index.

Date: 2019
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DOI: 10.1080/03610926.2018.1465081

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