LOSS ESTIMATION FOR SPHERICALLY SYMMETRICAL DISTRIBUTIONS

被引：4

作者：

FOURDRINIER, D ^{[1
]}

WELLS, MT ^{[1
]}

机构：

[1] CORNELL UNIV,ITHACA,NY 14853

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 1995年 / 53卷 / 02期

关键词：

LOSS ESTIMATION; MINIMAXITY; QUADRATIC LOSS; SHRINKAGE ESTIMATOR; SPHERICAL SYMMETRY; SUPERHARMONIC FUNCTIONS;

D O I：

10.1006/jmva.1995.1039

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we consider the problem of estimating the quadratic loss of point estimators of a location parameter for a family of spherically symmetric distributions. We compare the unbiased loss estimator of the minimax estimator with a new shrinkage type loss estimator. Conditions on the distributions for the domination of competing estimators are given. It is shown that, in addition to the class of scale mixtures of normal distributions, there exists a more general family for which the domination results hold. (C) 1995 Academic Press, Inc.

引用

页码：311 / 331

页数：21

共 21 条

[1] MINIMAX ESTIMATION OF LOCATION VECTORS FOR A WIDE CLASS OF DENSITIES [J].