An empirical Bayes derivation of best linear unbiased predictors (Q1848011)
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scientific article; zbMATH DE number 1821313
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An empirical Bayes derivation of best linear unbiased predictors |
scientific article; zbMATH DE number 1821313 |
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An empirical Bayes derivation of best linear unbiased predictors (English)
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29 October 2002
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Summary: Let \((Y_{1},\theta _{1}),\dots, (Y_{n},\theta_{n})\) be independent real-valued random vectors with \(Y_{i}\), given \(\theta_{i}\), distributed according to a distribution depending only on \(\theta_{i}\) for \(i=1,\dots,n\). Best linear unbiased predictors (BLUPs) of the \(\theta_i\)'s are investigated. We show that BLUPs of \(\theta_i\)'s do not exist in certain situations. Furthermore, we present a general empirical Bayes technique for deriving BLUPs.
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