zbMATH — the first resource for mathematics

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.
62F10 Point estimation
62F15 Bayesian inference
62H12 Estimation in multivariate analysis
Full Text: Link