Abstract
AbstractA mean‐squared error comparison of smooth empirical Bayes and Bayes estimators for the Weibull and gamma scale parameters is studied based on a computer simulation. The smooth empirical Bayes estimators are determined as functions of up to 15 past estimates of the parameter of interest. Results indicate that at best the mean‐squared errors of the empirical Bayes estimators are about 20–40% larger than those of the corresponding squared‐error optimal Bayes estimators.
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