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How to Improve Classical Estimators via Linear Bayes Method?
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 Title & Authors
How to Improve Classical Estimators via Linear Bayes Method?
Wang, Lichun;
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In this survey, we use the normal linear model to demonstrate the use of the linear Bayes method. The superiorities of linear Bayes estimator (LBE) over the classical UMVUE and MLE are established in terms of the mean squared error matrix (MSEM) criterion. Compared with the usual Bayes estimator (obtained by the MCMC method) the proposed LBE is simple and easy to use with numerical results presented to illustrate its performance. We also examine the applications of linear Bayes method to some other distributions including two-parameter exponential family, uniform distribution and inverse Gaussian distribution, and finally make some remarks.
linear Bayes method;MCMC method;MSEM criterion;normal linear model;two-parameter exponential family;uniform distribution;inverse Gaussian distribution;
 Cited by
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