Bayes Empirical Bayes Estimation for Scale Parameter
Lichun Wang · Gongcheng shuxue xuebao · 2007
We employ the Bayes empirical Bayes (EB) procedure to estimate the scale parameter in a special exponential family,and prove that the Bayes EB estimator of the scale parameter converges almost surely (a.s.) to its Bayes estimator and it is asymptotically optimal. Also,a simulation experiment is conducted to demonstrate the asymptotic optimality of the Bayes EB estimator.