Superiority of empirical Bayes estimation of error variance in linear model

作者：Chen, Ling; Wei, Laisheng^*

来源：Frontiers of Mathematics in China, 2012, 7(4): 629-644.

DOI：10.1007/s11464-012-0198-1

• Linear regression model
• error variance
• parametric empirical Bayes estimation
• mean square error criterion
• simulation result

In this paper, the Bayes estimator of the error variance is derived in a linear regression model, and the parametric empirical Bayes estimator (PEBE) is constructed. The superiority of the PEBE over the least squares estimator (LSE) is investigated under the mean square error (MSE) criterion. Finally, some simulation results for the PEBE are obtained.

• 出版日期2012-8
• 单位中国科学技术大学; 安徽大学