Bayesian Estimation of the Normal Location Model: A Non‐Standard Approach
研究正态位置模型中位置参数的非标准贝叶斯估计，将先验置于缩放后的参数上，分析其有限样本与渐近性质，对从事计量经济学和统计学的学者有参考价值。
ABSTRACT We consider the estimation of the location parameter in the normal location model and study the sampling properties of shrinkage estimators derived from a non‐standard Bayesian approach that places the prior on a scaled version of , interpreted as the “population ‐ratio.” We show that the finite‐sample distribution of these estimators is not centred at and is generally non‐normal. In the asymptotic theory, we prove uniform ‐consistency of our estimators and obtain their asymptotic distribution under a general moving‐parameter setup that includes both the fixed‐parameter and the local‐parameter settings as special cases.