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Bayes Estimators of Heterogeneity Variance and T-Systems



Andrew L. Rukhin


The considered problem concerns simultaneous inference for curve-confined natural parameters of independent, heterogeneous gamma-random variables with known shape parameters. The meta-analysis motivated loss function is suggested and some properties of the minimax value for the corresponding risk are obtained. The form of Bayes estimators and quadrature formulas for their numerical evaluation are provided, along with Monte Carlo simulations.
Journal Of Statistical Planning And Inference


Curved exponential family, Dirichlet averages, Laguerre polynomials, meta-analysis, minimaxity, quadrature formulas.


Rukhin, A. (2014), Bayes Estimators of Heterogeneity Variance and T-Systems, Journal Of Statistical Planning And Inference, [online], (Accessed May 26, 2024)


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Created January 8, 2014, Updated January 27, 2020