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From |
Robert A Yaffee <bob.yaffee@nyu.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: RE: st: RE: Shrinkage factor |

Date |
Wed, 14 Oct 2009 20:15:29 -0400 |

Elan, Evans, Carlin and Lewis in their 3rd edition of Bayesian Methods for Data Analysis describe the Bayesian Shrinkage factor B = sigma^2/(sigma^2 + tau^2) where tau^2 would be the variance of the prior distribution while sigma^2 would be the normal density of the sample (or likelihood), p. 17. B is also used to compute the posterior mean = B (mu) + (1-B)y a weighted average of the prior mean and that of the sample. Regards, Bob Robert A. Yaffee, Ph.D. Research Professor Silver School of Social Work New York University Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf CV: http://homepages.nyu.edu/~ray1/vita.pdf ----- Original Message ----- From: "Cohen, Elan" <cohened@upmc.edu> Date: Wednesday, October 14, 2009 1:40 pm Subject: RE: st: RE: Shrinkage factor To: "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu> > Just based on the index, the following book may be helpful: > > http://www.stata.com/bookstore/mlmus2.html > > - Elan > > > > -----Original Message----- > > From: owner-statalist@hsphsun2.harvard.edu > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > > Evans Jadotte > > Sent: Wednesday, October 14, 2009 1:07 PM > > To: statalist@hsphsun2.harvard.edu > > Subject: Re: st: RE: Shrinkage factor > > > > Nick Cox wrote: > > > If there were, then a simple search would almost certainly find it. > > > -findit shrinkage- yields no hits. Did you try a Stata or > > Google search? > > > > > > > > > Nick > > > n.j.cox@durham.ac.uk > > > > > > Evans Jadotte > > > > > > I am estimating a three-level hierachical model using > > xtmixed and want > > > to get the 'shrinkage factor' (Rj) to help me with the > > calculation of > > > the variance for an empirical Bayes estimate. My model has many > > > covariates and clusters and this makes a manual calculation > > of the Rj > > > not malleable. Is there any user-written command to get the Rj? > > > > > > Hope my request is not too confusing and can receive some help. > > > > > > * > > > * For searches and help try: > > > * http://www.stata.com/help.cgi?search > > > * http://www.stata.com/support/statalist/faq > > > * http://www.ats.ucla.edu/stat/stata/ > > > > > I tried under both findit shrinkage and findit reliability (this > last > > one took me to xtmepoisson but no further help), with no luck. > > > > Evans > > * > > * For searches and help try: > > * http://www.stata.com/help.cgi?search > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: RE: st: RE: Shrinkage factor***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

**References**:**st: Shrinkage factor***From:*Evans Jadotte <evans.jadotte@uab.es>

**st: RE: Shrinkage factor***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**Re: st: RE: Shrinkage factor***From:*Evans Jadotte <evans.jadotte@uab.es>

**RE: st: RE: Shrinkage factor***From:*"Cohen, Elan" <cohened@upmc.edu>

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