Displaying similar documents to “An improved Bayes empirical Bayes estimator.”

Posterior regret Γ-minimax estimation in a normal model with asymmetric loss function

Agata Boratyńska (2002)

Applicationes Mathematicae

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The problem of posterior regret Γ-minimax estimation under LINEX loss function is considered. A general form of posterior regret Γ-minimax estimators is presented and it is applied to a normal model with two classes of priors. A situation when the posterior regret Γ-minimax estimator, the most stable estimator and the conditional Γ-minimax estimator coincide is presented.

Objective Bayesian point and region estimation in location-scale models.

José M. Bernardo (2007)

SORT

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Point and region estimation may both be described as specific decision problems. In point estimation, the action space is the set of possible values of the quantity on interest; in region estimation, the action space is the set of its possible credible regions. Foundations dictate that the solution to these decision problems must depend on both the utility function and the prior distribution. Estimators intended for general use should surely be invariant under one-to-one transformations,...

Robust Bayesian estimation with asymmetric loss function

Agata Boratyńska (2002)

Applicationes Mathematicae

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The problem of robust Bayesian estimation in some models with an asymmetric loss function (LINEX) is considered. Some uncertainty about the prior is assumed by introducing two classes of priors. The most robust and conditional Γ-minimax estimators are constructed. The situations when those estimators coincide are presented.

Two-point priors and minimax estimation of a bounded parameter under convex loss

Agata Boratyńska (2005)

Applicationes Mathematicae

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The problem of minimax estimation of a parameter θ when θ is restricted to a finite interval [θ₀,θ₀+m] is studied. The case of a convex loss function is considered. Sufficient conditions for existence of a minimax estimator which is a Bayes estimator with respect to a prior concentrated in two points θ₀ and θ₀+m are obtained. An example is presented.

Theory of parameter estimation

Ryszard Zieliński (1997)

Banach Center Publications

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0. Introduction and summary. The analysis of data from the gravitational-wave detectors that are currently under construction in several countries will be a challenging problem. The reason is that gravitational-vawe signals are expected to be extremely weak and often very rare. Therefore it will be of great importance to implement optimal statistical methods to extract all possible information about the signals from the noisy data sets. Careful statistical analysis based on correct application...

Using auxiliary information in statistical function estimation

Sergey Tarima, Dmitri Pavlov (2006)

ESAIM: Probability and Statistics

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In many practical situations sample sizes are not sufficiently large and estimators based on such samples may not be satisfactory in terms of their variances. At the same time it is not unusual that some auxiliary information about the parameters of interest is available. This paper considers a method of using auxiliary information for improving properties of the estimators based on a current sample only. In particular, it is assumed that the information is available as a number of estimates...

Bayesian estimation of AR(1) models with uniform innovations

Hocine Fellag, Karima Nouali (2005)

Discussiones Mathematicae Probability and Statistics

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The first-order autoregressive model with uniform innovations is considered. In this paper, we propose a family of BAYES estimators based on a class of prior distributions. We obtain estimators of the parameter which perform better than the maximum likelihood estimator.

Nonparametric bivariate estimation for successive survival times.

Carles Serrat, Guadalupe Gómez (2007)

SORT

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Several aspects of the analysis of two successive survival times are considered. All the analyses take into account the dependent censoring on the second time induced by the first. Three nonparametric methods are described, implemented and applied to the data coming from a multicentre clinical trial for HIV-infected patients. Visser's and Wang and Wells methods propose an estimator for the bivariate survival function while Gómez and Serrat's method presents a conditional approach for...

Information inequalities for the minimax risk of sequential estimators (with applications)

Lesław Gajek, B. Mizera-Florczak (1998)

Applicationes Mathematicae

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Information inequalities for the minimax risk of sequential estimators are derived in the case where the loss is measured by the squared error of estimation plus a linear functional of the number of observations. The results are applied to construct minimax sequential estimators of: the failure rate in an exponential model with censored data, the expected proportion of uncensored observations in the proportional hazards model, the odds ratio in a binomial distribution and the expectation...