Bayesian Estimation of Regression Coefficients Under Extended Balanced Loss Function

Abstract

Appreciating the desirability of simultaneously using both the criteria of goodness of fitted model and clustering of estimates around true parameter values, an extended version of the balanced loss function is presented and the Bayesian estimation of regression coefficients is discussed. The thus obtained optimal estimator is then compared with the least squares estimator and posterior mean vector with respect to the criteria like posterior expected loss, Bayes risk, bias vector, mean squared error matrix and risk function.

Keywords:

• Balanced loss function
• Bayesian estimation
• Bayes risk
• Linear regression model
• Posterior expected loss
• Predictive loss function

Mathematics Subject Classsification:

• 62J05