A performance comparison of empirical Bayes and Bayes estimators of the Weibull and gamma scale parameters

A mean-squared error comparison of smooth empirical Bayes and Bayes estimators for the Weibull and gamma scale parameters is studied based on a computer simulation. The smooth empirical Bayes estimators are determined as functions of up to 15 past estimates of the parameter of interest. Results indicate that at best the mean-squared errors of the empirical Bayes estimators are about 20–40% larger than those of the corresponding squared-error optimal Bayes estimators.