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A Comparison of the Bayesian and Frequentist Approaches to EstimationImproving on Standard Bayesian and Frequentist Estimators

A Comparison of the Bayesian and Frequentist Approaches to Estimation: Improving on Standard... [Suppose that an experiment of interest will yield the outcome X, where X has been modeled as having the probability distribution Fq depending on the scalar parameter q. The statistician is prepared to estimate q by the estimator bq = bq(X), where bq might be either a Bayesian or a frequentist estimator, depending on the statistician’s inclination. Suppose that before this estimation process is completed, the statistician becomes aware of the outcome Y of a “similar“ experiment. The question then naturally arises: can the information obtained in the other experiment be exploited to provide a better estimator of q than bq? If it can, then the opportunity afforded to the statistician to improve upon his initial strategy should not be squandered! The situation I have outlined here is both intriguing and seductive, but it is also vague, involving the as-yet-undefined term “similar“ as well as dependent on suppositions that might, in many circumstances, be found to be unrealistic. In this chapter, we will examine a scenario in which opportunities of the sort above tend to arise. The empirical Bayes framework, the quintessential statistical setting in which one may reliably learn from similar experiments, was introduced by Robbins at the Berkeley Symposium on Probability and Statistics in 1955, and was developed further in Robbins (1964). This section is aimed at presenting the empirical Bayes “model“ and discussing its statistical implications.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

A Comparison of the Bayesian and Frequentist Approaches to EstimationImproving on Standard Bayesian and Frequentist Estimators

Part of the Springer Series in Statistics Book Series
Samaniego, Francisco J.
Springer Journals — May 28, 2010
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Publisher
Springer New York
Copyright
© Springer Science+Business Media, LLC 2010
ISBN
978-1-4419-5940-9
Pages
157 –171
DOI
10.1007/978-1-4419-5941-6_10
Publisher site
See Chapter on Publisher Site

Abstract

[Suppose that an experiment of interest will yield the outcome X, where X has been modeled as having the probability distribution Fq depending on the scalar parameter q. The statistician is prepared to estimate q by the estimator bq = bq(X), where bq might be either a Bayesian or a frequentist estimator, depending on the statistician’s inclination. Suppose that before this estimation process is completed, the statistician becomes aware of the outcome Y of a “similar“ experiment. The question then naturally arises: can the information obtained in the other experiment be exploited to provide a better estimator of q than bq? If it can, then the opportunity afforded to the statistician to improve upon his initial strategy should not be squandered! The situation I have outlined here is both intriguing and seductive, but it is also vague, involving the as-yet-undefined term “similar“ as well as dependent on suppositions that might, in many circumstances, be found to be unrealistic. In this chapter, we will examine a scenario in which opportunities of the sort above tend to arise. The empirical Bayes framework, the quintessential statistical setting in which one may reliably learn from similar experiments, was introduced by Robbins at the Berkeley Symposium on Probability and Statistics in 1955, and was developed further in Robbins (1964). This section is aimed at presenting the empirical Bayes “model“ and discussing its statistical implications.]

Published: May 28, 2010

Keywords: Prior Distribution; Past Experiment; Frequentist Estimator; Exponential Family; Error Loss

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