Robust hierarchical Bayes estimation of exchangeable means
作者:
Jean‐François Angers,
James O. Berger,
期刊:
Canadian Journal of Statistics
(WILEY Available online 1991)
卷期:
Volume 19,
issue 1
页码: 39-56
ISSN:0319-5724
年代: 1991
DOI:10.2307/3315535
出版商: Wiley‐Blackwell
关键词: Bayes estimator;hierarchical Bayes;normal‐Cauchy convolution;Monte Carlo simulation
数据来源: WILEY
摘要:
AbstractEstimation of the mean of a multivariate normal distribution is considered. The components of the mean vector θ are assumed to be exchangeable; this is modelled in a hierarchical fashion with independent Cauchy distributions as the first‐stage prior. The resulting generalized Bayes estimator is calculated and shown to be robust with respect to the presence of outlying means. Alternative estimators that have similar behaviour but are cheaper to compute are also deriv
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