Risk-reducing shrinkage estimation for generalized linear models |
| |
Authors: | Dan J Spitzner |
| |
Institution: | Virginia Tech, Blacksburg, USA |
| |
Abstract: | Summary. Empirical Bayes techniques for normal theory shrinkage estimation are extended to generalized linear models in a manner retaining the original spirit of shrinkage estimation, which is to reduce risk. The investigation identifies two classes of simple, all-purpose prior distributions, which supplement such non-informative priors as Jeffreys's prior with mechanisms for risk reduction. One new class of priors is motivated as optimizers of a core component of asymptotic risk. The methodology is evaluated in a numerical exploration and application to an existing data set. |
| |
Keywords: | Entropy loss Generalized linear models Jeffreys's prior Shrinkage estimation |
|
|