On F-modelling-based empirical Bayes estimation of variances

Autor:	Yeil Kwon, Zhigen Zhao
Rok vydání:	2022
Předmět:	Statistics and Probability Applied Mathematics General Mathematics Statistics Probability and Uncertainty General Agricultural and Biological Sciences Agricultural and Biological Sciences (miscellaneous)
Zdroj:	Biometrika. 110:69-81
ISSN:	1464-3510 0006-3444
Popis:	Summary We consider the problem of empirical Bayes estimation of multiple variances when provided with sample variances. Assuming an arbitrary prior on the variances, we derive different versions of the Bayes estimators using different loss functions. For one particular loss function, the resulting Bayes estimator relies on the marginal cumulative distribution function of the sample variances only. When replacing it with the empirical distribution function, we obtain an empirical Bayes version called the $F$-modelling-based empirical Bayes estimator of variances. We provide theoretical properties of this estimator, and further demonstrate its advantages through extensive simulations and real data analysis.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1f7e470ee70e244d7f8971b83513b291 https://doi.org/10.1093/biomet/asac019 Zobrazit plný text záznamu