Title

Linear Empirical Bayes Estimation In The Case Of The Wishart Distribution

Keywords

Empirical Bayes estimation; The Wishart distribution

Abstract

We consider independent pairs (X1,Σ1), (X2, Σ2), ..., (Xn, Σn), where each Σi is distributed according to some unknown density function g(Σ) and, given Σi = Σ, Xi has a conditional density function q(x|Σ) of the Wishart type. In each pair, the first component is observable but the second is not. After the (n + 1)-th observation Xn+1 is obtained, the objective is to estimate Σn+1 corresponding to Xn+1. This estimator is called an empirical Bayes (EB) estimator of Σ. We construct a linear EB estimator of Σ and examine its precision. Copyright © 2000 by Marcel Dekker, Inc.

Publication Date

12-1-2000

Publication Title

Communications in Statistics - Theory and Methods

Volume

29

Issue

8

Number of Pages

1787-1799

Document Type

Article

Personal Identifier

scopus

Socpus ID

26844534669 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/26844534669

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