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Bayes estimator under parameter-weighted squared error
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Mathematics
Area of mathematics
Probability and statistics
Statistical inference
Bayesian statistics
Bayes estimator
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For loss
L
(
θ
,
a
)
=
q
(
θ
)
(
θ
−
a
)
2
with
q
(
θ
)
>
0
, the Bayes estimator is the mean under the posterior reweighted by
q
:
θ
B
=
E
[
q
(
θ
)
∣
X
]
E
[
θq
(
θ
)
∣
X
]
.
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Bayes estimator
Bayesian statistics
Statistical inference
Probability and statistics
Area of mathematics
Mathematics
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