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Simultaneous empirical Bayes estimation for mean and error variance in normal distribution
Received date: 2012-07-08
Revised date: 2012-10-22
Online published: 2013-07-15
In the normal distribution, by assuming that the parameters of mean and error variance have the normal inverse-Gamma distribution, the simultaneous Bayes estimators of mean and error variance are derived. By using historical samples, the parametric empirical Bayes estimators (PEBE) are constructed. Superiorities of PEBE over UMVUE in mean parameter and error variance are obtained in terms of the MSE criterion. Finally, we give a remark on the main results.
QIU Li-Sha , WEI Lai-Sheng . Simultaneous empirical Bayes estimation for mean and error variance in normal distribution[J]. Journal of University of Chinese Academy of Sciences, 2013 , 30(4) : 454 -461 . DOI: 10.7523/j.issn.2095-6134.2013.04.005
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