Download e-book for kindle: 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. recognition is specific to the real subfield of statistical estimation. The ebook is meant for an viewers having an excellent grounding in likelihood and information on the point of the year-long undergraduate path taken through information and arithmetic majors. the mandatory history on selection conception and the frequentist and Bayesian techniques to estimation is gifted and thoroughly mentioned in Chapters 1–3. The “threshold challenge” -- opting for the boundary among Bayes estimators which are inclined to outperform ordinary frequentist estimators and Bayes estimators which don’t -- is formulated in an analytically tractable method in bankruptcy four. The formula features a particular (decision-theory established) criterion for evaluating estimators. the center piece of the monograph is bankruptcy five during which, lower than really common stipulations, an particular technique to the edge is bought for the matter of estimating a scalar parameter below squared mistakes loss. The six chapters that stick with tackle quite a few different contexts during which the brink challenge should be productively taken care of. incorporated are remedies of the Bayesian consensus challenge, the brink challenge for estimation difficulties related to of multi-dimensional parameters and/or uneven loss, the estimation of nonidentifiable parameters, empirical Bayes tools for combining information from ‘similar’ experiments and linear Bayes equipment for combining info from ‘related’ experiments. the ultimate bankruptcy presents an outline of the monograph’s highlights and a dialogue of parts and difficulties short of additional learn. F. J. Samaniego is a distinctive Professor of records on the collage of California, Davis. He served as thought and strategies 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 fulfillment, and is an elected Fellow of the ASA, the IMS and the RSS and an elected Member of the ISI.

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

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The Xs represent the observed failure times of n identical items placed on test, and the experiment is carried out under type I censoring at the fixed time horizon T . Thus, the observed outcomes of the life-testing experiment are Y1 ,Y2 , . . ,Yn , where Yi = min{Xi , T }. Suppose that every Xi exceeds T . The likelihood function is then the probability of the observed event, that is, n L = ∏ e−T /µ = e−nT /µ . i=1 Show that the maximum likelihood estimator of µ does not exist. 11 (Neyman and Scott).

2 The subjectivist view of probability 37 Axiom 2. Let {Ai , Bi , i = 1, 2} be events for which A1 ∩ A2 = ∅ and B1 ∩ B2 = ∅. If A1 B1 and A2 B2 , then A1 ∪ A2 B1 ∪ B2 . Further, if either A1 ≺ B1 or A2 ≺ B2 , then A1 ∪ A2 ≺ B1 ∪ B2 . It is easily shown that Axioms 1 and 2 together imply that the relation is transitive, that is, given events A, B and C, if A B and B C, then A C. The third axiom asserts that the empty event ∅ is the least likely among all possible events and that the certain event (or universe) S is more likely than ∅.

Suppose that X1 , X2 , . . , Xn ∼ Fθ , and that T , a function of X1 , . . , Xn , is a complete sufficient statistic for θ . Let θ = h(T ) be an unbiased estimator of θ . Then, for arbitrary θ ∈ Θ , θ has the smallest possible variance among all unbiased estimators of θ , that is, θ is the uniformly minimum variance unbiased estimator (UMVUE) of θ . 18 2 An Overview of the Frequentist Approach to Estimation The Lehmann–Scheffe Theorem gives us an explicit recipe for finding the best unbiased estimator: identify a sufficient statistic T , confirm that it is complete and then find an unbiased function of T .

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

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