Download e-book for iPad: A Comparison of the Bayesian and Frequentist Approaches to by Francisco J. Samaniego

By Francisco J. Samaniego

ISBN-10: 1441959408

ISBN-13: 9781441959409

This monograph contributes to the world of comparative statistical inference. consciousness is specific to the real subfield of statistical estimation. The booklet is meant for an viewers having a pretty good grounding in likelihood and facts on the point of the year-long undergraduate direction taken by way of records and arithmetic majors. the required heritage on determination concept and the frequentist and Bayesian ways to estimation is gifted and thoroughly mentioned in Chapters 1–3. The “threshold challenge” -- determining the boundary among Bayes estimators which are likely to outperform normal frequentist estimators and Bayes estimators which don’t -- is formulated in an analytically tractable manner in bankruptcy four. The formula encompasses a particular (decision-theory established) criterion for evaluating estimators. the center piece of the monograph is bankruptcy five within which, less than particularly normal stipulations, an specific method to the brink is acquired for the matter of estimating a scalar parameter lower than squared mistakes loss. The six chapters that persist with tackle various different contexts during which the brink challenge could be productively taken care of. incorporated are remedies of the Bayesian consensus challenge, the edge challenge for estimation difficulties concerning of multi-dimensional parameters and/or uneven loss, the estimation of nonidentifiable parameters, empirical Bayes equipment for combining info from ‘similar’ experiments and linear Bayes tools for combining information from ‘related’ experiments. the ultimate bankruptcy offers an summary of the monograph’s highlights and a dialogue of components and difficulties short of additional study. F. J. Samaniego is a exceptional Professor of information on the college of California, Davis. He served as thought and techniques Editor of the magazine of the yank Statistical organization (2003-05), was once the 2004 recipient of the Davis Prize for Undergraduate instructing and Scholarly success, and is an elected Fellow of the ASA, the IMS and the RSS and an elected Member of the ISI.

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Additional resources for A Comparison of the Bayesian and Frequentist Approaches to Estimation

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Further, it asserts that any event in the experiment of interest can be compared to any interval I. Specifically, we will adjoin the following assertion to the axioms stated thus far. Axiom 5. There exists a random variable X with distribution U [0, 1], and for any event A and any interval I ⊆ [0, 1], either A ≺ I, A ∼ I or A I. The fifth axiom assumes that any individual judging the relative likelihood of the events in a given experiment can also compare the likelihood of any of these events to the likelihood of the event {X ∈ I} for an arbitrary interval I ⊆ [0, 1], where X ∼ U [0, 1].

2) applies. One further theoretical result is often presented in discussions of unbiased estimation. The Cram´er–Rao inequality provides a lower bound on the variance of unbiased estimators in a given problem. The potential utility of such a result is immediately evident. If one has the lower bound in hand, and if one finds an unbiased estimator whose variance is equal to that bound, then the estimator is, of necessity, the best unbiased estimator. The Cram´er–Rao Inequality holds under a set of conditions on the model which is assumed to govern the available random sample.

One may speak of a family of distributions F = {Fθ , θ ∈ Θ } as being a complete family. We will take this language as conveying the fact that there exists a statistic T based on one or more observations X ∼ Fθ such that T is a complete sufficient statistic for θ ∈ Θ . Now suppose we are searching for a “good” estimator within the class of unbiased estimators. Any two unbiased estimators would have distributions with mean θ , that is, they would both be “aimed” at the right place. In many repetitions of the sampling process, both estimators would have an average value that would be very close to θ .

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A Comparison of the Bayesian and Frequentist Approaches to Estimation by Francisco J. Samaniego


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