Frontiers of Mathematics in China >

2012 , Vol. 7 >Issue 4: 629 - 644

DOI: https://doi.org/10.1007/s11464-012-0198-1

RESEARCH ARTICLE

Superiority of empirical Bayes estimation of error variance in linear model

  • Ling CHEN 1,2 ,
  • Laisheng WEI , 1
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  • 1. Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China
  • 2. School of Mathematical Science, Anhui University, Hefei 230039, China

Received date: 18 Jan 2011

Accepted date: 21 Jan 2012

Published date: 01 Aug 2012

Copyright

2014 Higher Education Press and Springer-Verlag Berlin Heidelberg
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Abstract

In this paper, the Bayes estimator of the error variance is derived in a linear regression model, and the parametric empirical Bayes estimator (PEBE) is constructed. The superiority of the PEBE over the least squares estimator (LSE) is investigated under the mean square error (MSE) criterion. Finally, some simulation results for the PEBE are obtained.

Key words： Linear regression model; error variance; parametric empirical Bayes estimation; mean square error criterion; simulation result

Cite this article

Ling CHEN , Laisheng WEI . Superiority of empirical Bayes estimation of error variance in linear model[J]. Frontiers of Mathematics in China, 2012 , 7(4) : 629 -644 . DOI: 10.1007/s11464-012-0198-1

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