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Many statistical and econometric learning methods rely on Bayesian ideas, often applied or reinterpreted in a frequentist setting. Two leading examples are shrinkage estimators and model averaging estimators, such as weighted-average least squares (WALS). In many instances, the accuracy of these learning methods in repeated samples is assessed using the variance of the posterior distribution of the parameters of interest given the data. This may be permissible when the sample size is large because, under the conditions of the Bernstein--von Mises theorem, the posterior variance agrees asymptotically with the frequentist variance. In finite samples, however, things are less clear. In this paper we explore this issue by first considering the frequentist properties (bias and variance) of the posterior mean in the important case of the normal location model, which consists of a single observation on a univariate Gaussian distribution with unknown mean and known variance. Based on these results, we derive new estimators of the frequentist bias and variance of the WALS estimator in finite samples. We then study the finite-sample performance of the proposed estimators by a Monte Carlo experiment with design derived from a real data application about the effect of abortion on crime rates.

We derive explicit expressions for arbitrary moments and quantiles of the posterior distribution of the location parameter η in the normal location model with Laplace prior, and use the results to approximate the posterior distribution of sums of independent copies of η.

Many statistical and econometric learning methods rely on Bayesian ideas, often applied or reinterpreted in a frequentist setting. Two leading examples are shrinkage estimators and model averaging estimators, such as weighted-average least squares (WALS). In many instances, the accuracy of these learning methods in repeated samples is assessed using the variance of the posterior distribution of the parameters of interest given the data. This may be permissible when the sample size is large because, under the conditions of the Bernstein--von Mises theorem, the posterior variance agrees asymptotically with the frequentist variance. In finite samples, however, things are less clear. In this paper we explore this issue by first considering the frequentist properties (bias and variance) of the posterior mean in the important case of the normal location model, which consists of a single observation on a univariate Gaussian distribution with unknown mean and known variance. Based on these results, we derive new estimators of the frequentist bias and variance of the WALS estimator in finite samples. We then study the finite-sample performance of the proposed estimators by a Monte Carlo experiment with design derived from a real data application about the effect of abortion on crime rates.