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Bayesian Shrinkage Estimation for Stratified Count Data (2112.13245v3)
Published 25 Dec 2021 in math.ST and stat.TH
Abstract: In this paper, we consider simultaneous estimation of Poisson parameters in situations where we can use side information in aggregated data. We use standardized squared error and entropy loss functions. Bayesian shrinkage estimators are derived based on conjugate priors. We compare the risk functions of direct estimators and Bayesian estimators with respect to different priors that are constructed based on different subsets of observations. We obtain conditions for domination and also prove minimaxity and admissibility in a simple setting.