A study is made of the simple empirical Bayes estimators proposed by Robbins (1956). These estimators are compared with `best' conventional estimators in terms of ...

Discover how credibility theory helps actuaries use historical data to estimate risks and set insurance premiums; learn how ...

New estimators for the parameters in the linear regression model are presented, using not only the usual random sample of observations, but also past experience in the form of previous estimates of ...

Bayesian predictive density estimation represents a cornerstone of modern statistical inference by integrating prior knowledge with observed data to produce a predictive distribution for future ...

The covariance matrix of asset returns is the key input for many problems in finance and economics. This paper introduces a Bayesian nonparametric method to estimate the ex post covariance matrix from ...