Abstract

In this paper, the convergence rates of the EB estimators of the regression coefficients and the error variance in a linear model are obtained. The rates can approximate to O(n1) arbitrarily. The convergency of the EB estimators of the regression coefiicients and the variance components in a variance component model is also investigated. The investigation makes use of the results concerning the convergence rates of the EB estimators of the parameters in multi-parameter exponential families.

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