A Note on Lenk's Correction of the Harmonic Mean Estimator

• Autorzy: Anna Pajor , Jacek Osiewalski
• Języki publikacji: EN

Abstrakty

EN

The paper refines Lenk's concept of improving the performance of the computed harmonic mean estimator (HME) in three directions. First, the adjusted HME is derived from an exact analytical identity. Second, Lenk's assumption concerning the appropriate subset A of the parameter space is significantly weakened. Third, it is shown that, under certain restrictions imposed on A, a fundamental identity underlying the HME also holds for improper prior densities, which substantially extends applicability of the adjusted HME. (original abstract)

Słowa kluczowe

EN

Bayesian inference; Monte Carlo simulation; Estimators

PL

Wnioskowanie bayesowskie; Symulacja Monte Carlo; Estymatory

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2013
• Tom: 5
• Numer: nr 4
• Strony: 271--275

Twórcy

autor

Anna Pajor

• Cracow University of Economics, Poland

autor

Jacek Osiewalski

• Cracow University of Economics, Poland

Bibliografia

• [1] Lenk P., (2009), Simulation pseudo-bias correction to the harmonic mean estimator of integrated likelihoods, Journal of Computational and Graphical Statistics,18, 941-960.
• [2] Newton M.A., Raftery A.E., (1994), Approximate Bayesian inference by theweighted likelihood bootstrap [with discussion], Journal of the Royal Statistical Society B, 56, 3-48.
• [3] Osiewalski J., Steel M.F.J., (1993), A Bayesian perspective on model selection, manuscript, published in Spanish as: Una perspectiva bayesiana en selección demodelos, Cuadernos Economicos 55/3, 327-351.
• [4] Zellner A., (1971), An Introduction to Bayesian Inference in Econometrics, J.Wiley, New York.

Identyfikatory

DOI

DOI: 10.24425/cejeme.2013.119265