Bayesian Estimation and Prediction Using Asymmetric Loss Functions

DOI10.2307/2289234MaRDI QIDQ3740041zbMATH OpenOpenAlexFDO

Authors Arnold Zellner

Publication date 1986

Full work available at URL https://doi.org/10.2307/2289234

zbMATH Keywords

Bayes risksBayesian estimationinadmissibilitylinear regressionmultiparameter estimationpredictionrisk functionsVarian's asymmetric LINEX loss function

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15)

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Cited in

(only showing first 100 items - show all)

• Asymptotically pointwise optimal and asymptotically optimal stopping times in the Bayesian inference
• Optimization of process parameters using weighted convex loss functions
• Shrinkage estimation in exponential type-II censored data under LINEX loss
• An iterative feasible minimum mean squared error estimator of the disturbance variance in linear regression under asymmetric loss
• Asymmetric quadratic loss adjustments for a predictive t variable.
• A Bayesian approach to state space multivariate time series modeling
• Bayesian approach to life testing and reliability estimation using asymmetric loss function
• Properties of ordinary least squares estimators in regression models with nonspherical disturbances
• Bayesian analysis in econometrics
• Rationality testing under asymmetric loss
• Risk performance of a pre-test estimator for normal variance with the Stein-variance estimator under the LINEX loss function
• On estimating the current intensity of failure for the power-law process
• Inadmissibility of the Stein-rule estimator under the balanced loss function
• Some aspects of Bayesian loss-robustness
• Bayesian estimation of a normal mean parameter using the Linex loss function and robustness considerations
• Admissible estimation for finite population under the Linex loss function
• The finite sample properties of simultaneous equations' estimates and estimators. Bayesian and non-Bayesian approaches
• Sources of asymmetry in production factor dynamics
• Estimation of parameters of exponential distribution in the truncated space using asymmetric loss function
• Empirical Bayesian analysis of the Poisson intervention and incidence parameters.
• Empirical Bayes estimation of the truncation parameter with asymmetric loss function using NA samples
• Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise
• Minimax and -minimax estimation for the Poisson distribution under LINEX loss when the parameter space is restricted
• On the sampling performance of an inequality pre-test estimator of the regression error variance under LINEX loss
• On a Bayesian aspect for soft wavelet shrinkage estimation under an asymmetric Linex loss
• Bayesian analysis of power generalized Weibull distribution
• Second order optimal approximation in a particular exponential family under asymmetric LINEX loss
• Cost-sensitive estimation of ARMA models for financial asset return data
• Bayesian estimation and hypothesis tests for a circular generalized linear model
• Estimating moments of a selected Pareto population under asymmetric scale invariant loss function
• Parameter estimates of general failure rate model: a Bayesian approach
• Purely sequential bounded-risk point estimation of the negative binomial mean under various loss functions: one-sample problem
• Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models
• On the admissibility of an estimator of a normal mean vector under a LINEX loss function
• A consistent test for nonlinear out of sample predictive accuracy.
• Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure
• Admissible and minimax estimation of the parameter \(n\) in the binomial distribution
• New biased estimators under the LINEX loss function
• Generalized ridge regression estimators under the LINEX loss function
• Empirical Bayes testing procedures in some nonexponential families using asymmetric Linex loss function
• Bayesian and non-Bayesian approaches to statistical inference and decision-making
• Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss
• Kernel estimation under linear-exponential loss
• Some variants of adaptive sampling procedures and their applications
• Bayesian estimation for Burr distribution type III based on trimmed samples
• Bayesian analysis of the survival function and failure rate of Weibull distribution with censored data
• Bayesian estimation of two-parameter Weibull distribution using extension of Jeffreys prior information with three loss functions
• Optimal monetary policy with a nonlinear Phillips curve
• One-sided empirical Bayes test for location parameter in Gamma distribution
• Inference and optimal censoring scheme for progressively type-II censored competing risks model for generalized Rayleigh distribution
• A non-stationary model for spatially dependent circular response data based on wrapped Gaussian processes
• Optimal spatial prediction for non-negative spatial processes using a phi-divergence loss function
• Inference on a new distribution under progressive-stress accelerated life tests and progressive type-II censoring based on a series-parallel system
• How should parameter estimation be tailored to the objective?
• A general guide in Bayesian and robust Bayesian estimation using Dirichlet processes
• Estimation of exponentiated Nadarajah-Haghighi distribution under progressively type-II censored sample with application to bladder cancer data
• Bayesian shrinkage estimator of Burr XII distribution
• Bayesian estimation of an \(\mathrm{M}/\mathrm{M}/R\) queue with heterogeneous servers using Markov chain Monte Carlo method
• Inference and prediction for modified Weibull distribution based on doubly censored samples
• A study of risks of Bayes estimators in the generalized half-logistic distribution for progressively type-II censored samples
• Empirical Bayes inference for the Weibull model
• Finite-sample properties of the Graybill-Deal estimator
• Estimation of some lifetime parameters of generalized Gompertz distribution under progressively type-II censored data
• Bayesian estimations using MCMC approach under three-parameter Burr-XII distribution based on unified hybrid censored scheme
• Improved estimation in regression with varying penalty
• Modified Linex two-stage and purely sequential estimation of the variance in a normal distribution with illustrations using horticultural data
• Inference for an inverted exponentiated Pareto distribution under progressive censoring
• E-Bayesian estimation based on Burr-X generalized type-II hybrid censored data
• Bayesian estimation based on ranked set sampling using asymmetric loss function
• Downside loss aversion: winner or loser?
• Estimating the parameters of a Burr distribution under progressive type II censoring
• Evaluating the lifetime performance index based on the Bayesian estimation for the Rayleigh lifetime products with the upper record values
• Estimation of three-parameter exponentiated-Weibull distribution under type-II censoring
• Optimal rules and robust Bayes estimation of a gamma scale parameter
• Bayesian inference for the Topp-Leone distribution based on lower k-record values
• On Burr XII distribution analysis under progressive type-II hybrid censored data
• On estimating the mean of the selected normal population in two-stage adaptive designs
• Multivariate test for forecast rationality under asymmetric loss functions: recent evidence from MMS survey of inflation-output forecasts
• Bayesian solutions to graduate admissions and related selection problems
• Optimal forecast combinations under general loss functions and forecast error distributions
• A note on shrinkage wavelet estimation in Bayesian analysis
• Bayesian inference using record values from Rayleigh model with application
• Minimax invariant estimator of continuous distribution function under LINEX loss
• Hierarchical Bayesian collective risk model: an application to health insurance
• Convergence rate of empirical Bayes estimation for two-dimensional truncation parameters under linex loss
• Bayesian and frequentist estimation and prediction for exponential distributions
• Bayes estimators for the extreme-value reliability function
• Robust Bayesian analysis of Weibull failure model
• Bayes pre-test estimation for the change point of the changing one parameter exponential family
• Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
• BAYES SEQUENTIAL ESTIMATION OF POISSON MEAN UNDER A LINEX LOSS FUNCTION
• A stepwise confidence interval procedure under unknown variances based on an asymmetric loss function for toxicological evaluation
• A stepwise confidence interval procedure based on an asymmetric loss function with applications to toxicological evaluation
• Asymmetric risk of the Stein variance estimator under a misspecified linear regression model
• Ridge regression methodology in partial linear models with correlated errors
• On the admissibility of linear estimators in a multivariate normal distribution under LINEX loss function
• Predicting the signs of forecast errors
• Estimation of the binomial parameter_nusing a linex loss function
• On the minimaxity of pitman type estimator under a linex loss function
• On Measuring Loss Robustness Using Maximum A Posteriori Estimate

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