Bayesian shrinkage estimation of negative multinomial parameter vectors
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Publication:2196138
DOI10.1016/J.JMVA.2020.104653zbMATH Open1448.62071arXiv2001.09602OpenAlexW3002875179MaRDI QIDQ2196138FDOQ2196138
Authors: Y. Hamura, Tatsuya Kubokawa 
Publication date: 28 August 2020
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/2001.09602
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Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Compound decision problems in statistical decision theory (62C25)
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Cited In (6)
- Bayesian shrinkage estimation for stratified count data
- Bayesian cumulative shrinkage for infinite factorizations
- A formal bayes multiple shrinkage estimator
- Bayesian shrinkage approaches to unbalanced problems of estimation and prediction on the basis of negative multinomial samples
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- Title not available (Why is that?)
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