Estimation of a common slope in a gamma regression model with multiple strata: An empirical Bayes method

Authors:
Yuta Minoda;Takemi Yanagimoto
Affiliations:
Chuo University, Japan;Chuo University, Japan
Venue:
Computational Statistics & Data Analysis
Year:
2009

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Abstract

An empirical Bayes method for a gamma regression model with a slope parameter @b common through multiple strata is proposed and examined. Assuming that the number of strata is fairly large, we attempt to modify a usual empirical Bayes method so as to yield an improved estimator of @b. Such a modification is necessary to pursue compromise between Bayesian and frequentist approaches. Simulation studies strongly support superiority of the proposed estimator over the maximum likelihood estimator. A test for @b=0 is also discussed. To show large difference between the two estimates, an illustrative example is given.