Frontiers of Mathematics in China >
Superiority of empirical Bayes estimation of error variance in linear model
Received date: 18 Jan 2011
Accepted date: 21 Jan 2012
Published date: 01 Aug 2012
Copyright
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.
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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