JSM 2004 Online Program

Abstract #300475

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Activity Number:	436
Type:	Contributed
Date/Time:	Thursday, August 12, 2004 : 10:30 AM to 12:20 PM
Sponsor:	Section on Bayesian Statistical Science
Abstract - #300475
Title:	Improved Estimation of Parameters for Linear Models with Respect to the Linex Loss Function
Author(s):	Marvin H.J. Gruber*+
Companies:	Rochester Institute of Technology
Address:	Dep. of Mathematics and Statistics, Rochester, NY, 14623,
Keywords:	optimum affine estimator ; comparison of efficiency ; parametric functions ; mean square error ; translation
Abstract:	Linear Bayes estimators with respect to the squared error loss function include mixed estimators, ridge- and contraction-type estimators, and other shrinkage estimators as special cases. The Bayes risk of these estimators with respect to the linex loss function may be substantially improved upon by a suitable translation. For normal priors and populations the optimum translation is subtraction of the average mean squared error. Application of these results to different kinds of shrinkage estimators will be explored.

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