Pitman closeness properties of Bayes shrinkage procedures in estimation and prediction

TY - JOUR

T1 - Pitman closeness properties of Bayes shrinkage procedures in estimation and prediction

AU - Matsuda, Takeru

AU - Strawderman, William E.

N1 - Funding Information: The authors are grateful to the referee for valuable comments. This work was partially supported by a grant from the Simons Foundation ( #209035 to William Strawderman). Publisher Copyright: © 2016

PY - 2016/12/1

Y1 - 2016/12/1

N2 - 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.

AB - 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.

KW - Bayes

KW - Pitman closeness

KW - Point estimation

KW - Predictive density

KW - Stein prior

KW - Superharmonic prior

UR - http://www.scopus.com/inward/record.url?scp=84979655761&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84979655761&partnerID=8YFLogxK

U2 - https://doi.org/10.1016/j.spl.2016.07.005

DO - https://doi.org/10.1016/j.spl.2016.07.005

M3 - Article

SN - 0167-7152

VL - 119

SP - 21

EP - 29

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -