Stein-type improved estimation of standard error under asymmetric LINEX loss function
文献类型：期刊论文
| 作者 | Zou, Guohua1,2; Zeng, Jie1; Wan, Alan T. K.3; Guan, Zhong4 |
| 刊名 | STATISTICS
 |
| 出版日期 | 2009 |
| 卷号 | 43期号:2页码:121-129 |
| 关键词 | LINEX loss minimum risk equivariant estimator pre-test estimation standard error Stein-type improved estimator |
| ISSN号 | 0233-1888 |
| DOI | 10.1080/02331880802190422 |
| 英文摘要 | This paper considers the estimation of standard error. More than 40 years ago, Stein [C. Stein, Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean, Ann. Institute Statist. Math. 16 (1964), pp. 155-160] proposed a classical improved estimator over the minimum risk equivariant estimator under quadratic loss. This is a textbook result. A generalization of quadratic loss is LINEX loss which considers asymmetric penalty of overestimation and underestimation. What is the corresponding version to Stein's improved estimator under LINEX loss? The problem has not been solved yet. This paper gives us an answer. Our method also applies to some other loss functions such as quadratic loss and entropy loss. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000264336800002 |
| 出版者 | TAYLOR & FRANCIS LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/8030]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Zou, Guohua |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Univ Rochester, Dept Biostat & Computat Biol, Rochester, NY USA 3.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 4.Indiana Univ, Dept Math Sci, South Bend, IN 46615 USA |
| 推荐引用方式 GB/T 7714 | Zou, Guohua,Zeng, Jie,Wan, Alan T. K.,et al. Stein-type improved estimation of standard error under asymmetric LINEX loss function[J]. STATISTICS,2009,43(2):121-129. |
| APA | Zou, Guohua,Zeng, Jie,Wan, Alan T. K.,&Guan, Zhong.(2009).Stein-type improved estimation of standard error under asymmetric LINEX loss function.STATISTICS,43(2),121-129. |
| MLA | Zou, Guohua,et al."Stein-type improved estimation of standard error under asymmetric LINEX loss function".STATISTICS 43.2(2009):121-129. |
入库方式： OAI收割
来源：数学与系统科学研究院
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