On the Bounded Regret of Empirical Bayes Estimators.
SOUTH CAROLINA UNIV COLUMBIA DEPT OF STATISTICS
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In the first Jerzy Neyman Memorial Lecture, Robbins 1983 has outlined a wide class of problems concerning the general empirical Bayes approach and the linear empirical Bayes approach to estimation. This paper studies a special case which includes several important standard distributions. Specifically let theta, x be a random vector such that theta has a distribution function G, and the conditional expectation of x given theta satisfies Extheta theta. Suppose it is desired to use a linear function ABx of the observed x to estimate the unknown parameter theta.
- Statistics and Probability