The Annals of Statistics

Simultaneous Estimation of Poisson Means Under Entropy Loss

Malay Ghosh and Ming-Chung Yang

Full-text: Open access

Abstract

This paper characterizes admissible linear estimators of multiple Poisson parameters under entropy loss. Estimators dominating some of the standard estimators are given. Further, hierarchical Bayes estimators are generated and conditions under which they dominate the standard estimators are also given. Monte Carlo simulations are undertaken to indicate the extent of the risk dominance.

Article information

Source
Ann. Statist., Volume 16, Number 1 (1988), 278-291.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176350705

Digital Object Identifier
doi:10.1214/aos/1176350705

Mathematical Reviews number (MathSciNet)
MR924871

Zentralblatt MATH identifier
0654.62012

JSTOR
links.jstor.org

Subjects
Primary: 62C15: Admissibility
Secondary: 62F10: Point estimation 62C10: Bayesian problems; characterization of Bayes procedures

Keywords
Poisson means simultaneous estimation entropy loss linear estimators admissibility hierarchical Bayes empirical Bayes

Citation

Ghosh, Malay; Yang, Ming-Chung. Simultaneous Estimation of Poisson Means Under Entropy Loss. Ann. Statist. 16 (1988), no. 1, 278--291. doi:10.1214/aos/1176350705. https://projecteuclid.org/euclid.aos/1176350705


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