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Pitman closeness properties of Bayes shrinkage procedures in estimation and prediction

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  • Matsuda, Takeru
  • Strawderman, William E.

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.

Suggested Citation

  • Matsuda, Takeru & Strawderman, William E., 2016. "Pitman closeness properties of Bayes shrinkage procedures in estimation and prediction," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 21-29.
    • Handle: RePEc:eee:stapro:v:119:y:2016:i:c:p:21-29
    DOI: 10.1016/j.spl.2016.07.005
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    1. Matsuda, Takeru & Strawderman, William E., 2016. "Pitman closeness properties of point estimators and predictive densities with parametric constraints," Statistics & Probability Letters, Elsevier, vol. 116(C), pages 101-106.
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