A Comparative Study for Several Bayesian Estimators Under Balanced Loss Function

초록

In this research, the performance of widely used Bayesian estimators such as Bayes estimator, empirical Bayes estimator, constrained Bayes estimator and constrained empirical Bayes estimator are compared by means of a measurement under balanced loss function for the typical normal-normal situation. The proposed measurement is a weighted sum of the precisions of first and second moments. As a result, one can gets the criterion according to the size of prior variance against the population variance.

키워드