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Optimal credibility estimation of random parameters in hierarchical random effect linear model. (English) Zbl 1327.93381

Summary: In the hierarchical random effect linear model, the Bayes estimator of random parameter are not only dependent on specific prior distribution but also it is difficult to calculate in most cases. This paper derives the distributed-free optimal linear estimator of random parameters in the model by means of the credibility theory method. The estimators presented here can be applied in more extensive practical scenarios since they are only dependent on the first two moments of prior parameter rather than on specific prior distribution. Finally, the results are compared with some classical models and a numerical example is given to show the effectiveness of the estimators.

MSC:

93E10 Estimation and detection in stochastic control theory
93C05 Linear systems in control theory
93A13 Hierarchical systems
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