Controlled shrinkage estimators (a class of estimators better than the least squares estimator, with respect to a general quadratic loss, for normal observations
Cellieb, D.; Fordrinier, F.; C, Robert; Cellieb, D.; Laboratoire de Calcul des Probabilities et Statistique, Universite de Rouen; Fordrinier, F.; Laboratoire de Calcul des Probabilities et Statistique, Universite de Rouen; C, Robert; Laboratoire de Calcul des Probabilities et Statistique, Universite de Rouen
Журнал:
Statistics
Дата:
1989
Аннотация:
A random normal vector is observed in a finite dimensional real vector space E. Its mean is unknown but belongs to a known subspace of E of dimension >3. Its co variance operator is known up to a multiplicative factor. We consider a class of shrinkage estimators of the mean whose shrinkage functions are not necessarily differentiate. We establish a sufficient condition for uniform domination of the maximum likelihood estimator, with respect to an arbitrary quadratic loss.
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