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Zhang Weiping |
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Wei Laisheng |
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The Robustness of Bayes Linear Unbiased Estimations under Misspecified Prior Assumption
Zhang Weiping, Wei Laisheng
Department of Statistics and Finance, University of Science and Technology of China
The Bayes linear unbiased estimator (BLUE) of parameters is derived for general linear model under misspecified prior assumption. The robustness of BLUE over ordinary least square estimator (LSE) are shown in terms of mean square error matrix criterion and Pitman closeness criterion, the bounds of the relative efficiency of estimators are obtained.