Posterior propriety and admissibiity of hyperpriors in normal hierarchical models

DOI10.1214/009053605000000075zbMath1068.62005arXivmath/0505605OpenAlexW2022846662MaRDI QIDQ2388351

Dejun Tang, William E. Strawderman, James O. Berger

Publication date: 12 September 2005

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0505605

zbMATH Keywords

Markov chain Monte Carlocovariance matrixquadratic lossobjective priorsfrequentist riskposterior impropriety

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Admissibility in statistical decision theory (62C15)

Related Items (25)

Summaries of three keynote lectures at the SAE – 2018 ⋮ A class of admissible estimators of multiple regression coefficient with an unknown variance ⋮ Posterior propriety of an objective prior for generalized hierarchical normal linear models ⋮ Prior distributions for objective Bayesian analysis ⋮ Stein estimation for spherically symmetric distributions: recent developments ⋮ Estimation of covariance matrices in fixed and mixed effects linear models ⋮ An objective prior for hyperparameters in normal hierarchical models ⋮ Evaluating default priors with a generalization of Eaton's Markov chain ⋮ Larry Brown's work on admissibility ⋮ Objective priors for the bivariate normal model ⋮ A heterogeneous Bayesian regression model for cross-sectional data involving a single observation per response unit ⋮ Hierarchical Bayes, maximum a posteriori estimators, and minimax concave penalized likelihood estimation ⋮ Matrix linear minimax estimators in a general multivariate linear model under a balanced loss function ⋮ Bayesian analysis of the covariance matrix of a multivariate normal distribution with a new class of priors ⋮ Methods for improvement in estimation of a normal mean matrix ⋮ Posterior propriety for hierarchical models with log-likelihoods that have norm bounds ⋮ Evaluation of formal posterior distributions via Markov chain arguments ⋮ Posterior property in nonparametric mixed effects model ⋮ Generalized Bayes minimax estimators of the mean of multivariate normal distribution with unknown variance ⋮ Admissibility and minimaxity of Bayes estimators for a normal mean matrix ⋮ Shrinkage priors for Bayesian estimation of the mean matrix in an elliptically contoured distribution ⋮ Proper Bayes and minimax predictive densities related to estimation of a normal mean matrix ⋮ Proper Bayes minimax estimators of the normal mean matrix with common unknown variances ⋮ Estimation of a multivariate normal covariance matrix with staircase pattern data ⋮ Generalized Bayes minimax estimation of the normal mean matrix with unknown covariance matrix

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