Abstract
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.
Original language | English |
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Pages (from-to) | 149-153 |
Number of pages | 5 |
Journal | Applied Mathematics and Computation |
Volume | 114 |
Issue number | 2-3 |
DOIs | |
Publication status | Published - 11 Sept 2000 |