Pitman closeness properties of Bayes shrinkage procedures in estimation and prediction

Takeru Matsuda, William E. Strawderman

Research output: Contribution to journalArticlepeer-review

Abstract

Pitman closeness for Bayes shrinkage procedures in normal models are investigated. In point estimation, priors in the Strawderman class dominate the uniform prior. In predictive density estimation, spherically symmetric superharmonic priors dominate the uniform prior under log loss.

Original languageEnglish (US)
Pages (from-to)21-29
Number of pages9
JournalStatistics and Probability Letters
Volume119
DOIs
StatePublished - Dec 1 2016

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Bayes
  • Pitman closeness
  • Point estimation
  • Predictive density
  • Stein prior
  • Superharmonic prior

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