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Bayesian estimation of a multivariate mean under model uncertainty. (English) Zbl 1308.62036
Summary: This paper considers the problem of estimating a multivariate mean under Bayesian context when many models are a priori plausible. We suggest that the use of Bayesian model averaging (BMA) scheme for taking account uncertainty could be more appropriate than a single model. Some properties of the proposed method are investigated together with an application in the context of estimation in an analysis of variance (ANOVA) model.
MSC:
62F10 Point estimation
62F15 Bayesian inference
62H12 Estimation in multivariate analysis
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