The present paper obtains a Bayes estimator of the disturbance variance in a linear regression model under two asymmetric loss functions viz., LINEX loss function and SQUAREX loss function, assuming a natural conjugate prior distribution for the parameters. The expression for the Bayes risk of the estimator is also derived.
|Number of pages||5|
|Journal||Applied Mathematics and Computation|
|Publication status||Published - 11 Sep 2000|