Linear approximate Bayes estimator for regression parameter with an inequality constraint

Jie Jiang, Lichun Wang and Liqun Wang

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 6, 1531-1548

Abstract: In this paper, a linear Bayes procedure is suggested to estimate the regression parameter of the linear model with an inequality constraint. The superiority of the proposed linear approximate Bayes estimator (LABE) over the inequality constrained least square estimator (CLSE) is investigated in terms of the mean square error matrix (MSEM) criterion. Also, the simulation results and a numerical example show that the LABE is a good approximation to the usual Bayes estimator (BE).

Date: 2022
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DOI: 10.1080/03610926.2021.1890125

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