Premium
Bayes and empirical Bayes shrinkage estimation of regression coefficients
Author(s) -
Nebebe Fassil,
Stroud T. W. F.
Publication year - 1986
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315184
Subject(s) - bayes' theorem , bayes error rate , mathematics , bayes estimator , bayes factor , statistics , shrinkage , bayes classifier , econometrics , bayesian probability
For a moderate or large number of regression coefficients, shrinkage estimates towards an overall mean are obtained by Bayes and empirical Bayes methods. For a special case, the Bayes and empirical Bayes shrinking weights are shown to be asymptotically equivalent as the amount of shrinkage goes to zero. Based on comparisons between Bayes and empirical Bayes solutions, a modification of the empirical Bayes shrinking weights designed to guard against unreasonable overshrinking is suggested. A numerical example is given.