Linear Empirical Bayes Estimation In The Case Of The Wishart Distribution
Empirical Bayes estimation; The Wishart distribution
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.
Communications in Statistics - Theory and Methods
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Pensky, Marianna and Kirtane, Kalpana, "Linear Empirical Bayes Estimation In The Case Of The Wishart Distribution" (2000). Scopus Export 2000s. 651.