EMPIRICAL BAYES TEST OF REGRESSION COEFFICIENT IN A MULTIPLE LINEAR REGRESSION MODEL

(整期优先)网络出版时间:1990-03-13
/ 1
RecentlyR.S.SinghhasstudiedtheempiricalBayes(EB)estimationinamultiplelinearregressionmodel.InthispaperweconsidertheEBtestofregressioncoefficientβforthismodel.WeworkouttheEBtestdecisionrulebyusingkernelestimationofmultivariatedensityfunctionanditsfirstorderpartialderivatives.Weobtainitsasymptoticallyoptimal(a.o.)propertyundertheconditionE||β||1<∞.ItisshownthattbeconvergenceratesofthisEBtestdecisionruleareO(n-(r-1)λ/p+r)undertheconditionE||β||pr/2-λ<∞.whereanintegerr>l,0