CONJUGATE LOCATION-DISPERSION FAMILIES

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概要

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• We make a conjugate analysis for the five location-dispersion families including the normal, the transformed gamma and the von Mises distributions. The five families are introduced through the requirement for the existence of conjugate prior densities. We show in a unified way that a Pythagorean relationship holds with respect to posterior risks, which clarifies the optimality of the posterior mode under a Kullback-Leibler loss. An explicit form of the posterior mode is given, and a type of linearity is observed. We construct an empirical Bayes estimator of a location vector explicitly.

• 一般社団法人日本統計学会の論文

著者

• Ohnishi Toshio

  Inst. Statistical Mathematics Tokyo Jpn

• Ohnishi Toshio

  Institute of Statistical Mathematics

• Yanagimoto Takemi

  Institute of Statistical Mathematics

• Yanagimoto Takemi

  Chuo Univ. Tokyo Jpn

関連論文

• DUALITY INDUCED FROM CONJUGACY IN THE CURVED EXPONENTIAL FAMILY
• CONJUGATE LOCATION-DISPERSION FAMILIES

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