Abstract
Summary The Bayes equivariant estimators of the variance components (Zacks, 1970, 1971) are characterized in the case of r-stage hierarchical random effects models when the random effects are normally distributed and are mutually and completely independent. Non-trivial Bayes equivariant estimators are derived using a special prior distribution for the three-stage hierarchical model. It is observed that for the squared error loss function every Bayes equivariant estimator of the residual variance component is inadmissible.
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More From: Journal of the Royal Statistical Society Series B: Statistical Methodology
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