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Math Forum » Discussions » sci.math.* » sci.stat.math.independent

Topic: Reducing bias of a Bayesian point estimator
Replies: 13   Last Post: Oct 19, 2012 3:02 AM

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paulvonhippel at yahoo

Posts: 72
Registered: 7/13/05
Re: Reducing bias of a Bayesian point estimator
Posted: Oct 18, 2012 5:52 PM
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On Thursday, October 18, 2012 2:40:45 AM UTC-5, Ray Koopman wrote:
> On Oct 13, 3:45 pm, Paul <paulvonhip...@yahoo.com> wrote:
>
> > Bias is important. The quantity that I am estimating, gamma, is a variance that will be used to calculate confidence intervals. If the estimate of gamma is negatively biased, then the coverage of the confidence intervals will be too low.
>
> >
>
> > What is an appropriate loss function to use under these circumstances?
>
>
>
> One easy fix would be to add a penalty function, say some multiple of
>
> log(1-gamma). Then all that remains is to justify it.

Thanks, this is interesting. Are you suggesting a penalized likelihood, or would the penalty be used in another way?

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