The Bayes estimator in a misspecified linear regression model

DOI10.1007/BF02562684zbMath0852.62032MaRDI QIDQ1919722

Götz Trenkler, Lai-Sheng Wei

Publication date: 24 July 1996

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

predictionmisspecificationordinary least squares estimatormatrix mean square error criterionoptimal Bayes estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Bayesian inference (62F15) Admissibility in statistical decision theory (62C15)

Related Items (6)

The superiorities of Bayes linear unbiased estimation in partitioned linear model ⋮ A Summary of Some Research on PC and Bayesian PC Criterion in China ⋮ Mean square error matrix properties of Bayes estimation for incorrect prior information under misspecification ⋮ The superiorities of Bayes linear unbiased estimator in multivariate linear models ⋮ On Bayes Linear Unbiased Estimator Under the Balanced Loss Function ⋮ The Superiorities of Bayes Linear Minimum Risk Estimation in Linear Model

Cites Work

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• Statistical decision theory and Bayesian analysis. 2nd ed
• Admissible linear estimators in restricted linear models
• Empirical Bayes estimation in a multiple linear regression model
• Estimation of parameters in a linear model
• Mean square error matrix superiority of empirical Bayes estimators under misspecification
• The use of empirical Bayes estimators in a linear regression model
• Empirical Bayes on vector observations: An extension of Stein's method
• Linear Statistical Inference and its Applications

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