Year: 2019
Type: preprint
Abstract: In this paper, we investigate the reasons that the Bayesian estimator of the tail probability is always higher than the frequentist estimator. Sufficient conditions for this phenomenon are established both by using Jensen's Inequality and by looking at Taylor series approximations, both of which point to the convexity of the distribution function.
Source: arXiv (Cornell University)
Authors: Shen, Nan, González, Bárbara, Pericchi, Luis Raúl
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W4288358529