Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22220 
Year of Publication: 
2003
Series/Report no.: 
SFB 373 Discussion Paper No. 2003,5
Publisher: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Abstract: 
A definition of selfinformative Bayes carriers or limits is given as a description of an approach to noninformative Bayes estimation in non- and semiparametric models. It takes the posterior w.r.t. a prior as a new prior and repeats this procedure again and again. A main objective of the paper is to clarify the relation between selfinformative carriers or limits and maximum likelihood estimates (MLE's). For a model with dominated probability distributions we state sufficient conditions under which the set of MLE's is a selfinformative carrier or in the case of a unique MLE its selfinformative limit property. Mixture models are covered. The result on carriers is extended to more general models without dominating measure. Selfinformative limits in the case of estimation of hazard functions based in censored observations and in the case of normal linear models with possibly nonidentifiable parameters are shown to be identical to the generalized MLE's in the sense of Gill (1989) and Kiefer and Wolfowitz (1956). Selfinformative limits are given for semiparametric linear models. For a location model they are identical to generalized MLE's, while this is not true in general.
Subjects: 
generalized maximum likelihood
Dirichlet prior
mixture models
semiparametric models
multivariate linear models
hazard functions
censoring
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
204.58 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.