Empirical linear Bayesian decision rules for a sequence of linear models with different eegressor matrices
- 1 January 1974
- journal article
- research article
- Published by Taylor & Francis in Mathematische Operationsforschung und Statistik
- Vol. 5 (3) , 235-244
- https://doi.org/10.1080/02331887408801161
Abstract
As an approximation of the random parameters in a linear regression model a linear Bayesian decisian rule with restricted minimax property is considered. Since the regression model is assumed t o occur repeatedly (but with different regressor matrix), the unknown para meters of the peior distribution, which are aneded. can be estimated Asymptotie properties of the risk function of the resulding empirical Bayesian decision rnle are is:inverigated.Keywords
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