Bayesian shrinkage estimation of negative multinomial parameter vectors
From MaRDI portal
Publication:2196138
Abstract: The negative multinomial distribution is a multivariate generalization of the negative binomial distribution. In this paper, we consider the problem of estimating an unknown matrix of probabilities on the basis of observations of negative multinomial variables under the standardized squared error loss. First, a general sufficient condition for a shrinkage estimator to dominate the UMVU estimator is derived and an empirical Bayes estimator satisfying the condition is constructed. Next, a hierarchical shrinkage prior is introduced, an associated Bayes estimator is shown to dominate the UMVU estimator under some conditions, and some remarks about posterior computation are presented. Finally, shrinkage estimators and the UMVU estimator are compared by simulation.
Recommendations
- Simultaneous estimation of negative binomial dispersion parameters
- Multiparameter estimation for some multivariate discrete distributions with possibly dependent components
- Bayesian Estimation in a Generalized Negative Binomial Distribution
- Extension of a negative multinomial model
- scientific article; zbMATH DE number 4205610
Cites work
- scientific article; zbMATH DE number 1220667 (Why is no real title available?)
- A class of proper priors for Bayesian simultaneous prediction of independent Poisson observ\-a\-bles
- A natural identity for exponential families with applications in multiparameter estimation
- Bayes minimax estimation of multiple Poisson parameters
- Compound poisson distributions: Properties and estimation*
- Construction of improved estimators in multiparameter estimation for discrete exponential families
- Estimation of poisson means under weighted squared error loss
- Further Developments on the Robustness of Clevenson-Zidek-Type Means Estimators
- Improving upon standard estimators in discrete exponential families with applications to Poisson and negative binomial cases
- Multiparameter estimation for some multivariate discrete distributions with possibly dependent components
- Multiparameter estimation of discrete exponential distributions
- Multivariate estimation of Poisson parameters
- Negative multinomial distribution
- Proper Bayes minimax estimation of parameters of Poisson distributions in the presence of unbalanced sample sizes
- Robustness of Clevenson-Zidek-Type Estimators
- Simultaneous Estimation of the Means of Independent Poisson Laws
- Simultaneous estimation in discrete multivariate exponential families
- Simultaneous estimation of Poisson means under entropy loss
- Simultaneous estimation of parameters of Poisson distributions with unbalanced sample sizes
- Simultaneous estimation of several Poisson parameters under k-normalized squared error loss
- Simultaneous prediction for independent Poisson processes with different durations
- Simultaneous prediction of independent Poisson observables
- Some monotonicity properties and characterizations of the gamma function
Cited in
(6)- A formal bayes multiple shrinkage estimator
- Bayesian cumulative shrinkage for infinite factorizations
- Bayesian shrinkage estimation for stratified count data
- scientific article; zbMATH DE number 7750677 (Why is no real title available?)
- scientific article; zbMATH DE number 4211293 (Why is no real title available?)
- Bayesian shrinkage approaches to unbalanced problems of estimation and prediction on the basis of negative multinomial samples
This page was built for publication: Bayesian shrinkage estimation of negative multinomial parameter vectors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2196138)
