On unbiased and improved loss estimation for the mean of a multivariate normal distribution with unknown variance
文献类型：期刊论文
| 作者 | Wan, ATK; Zou, GH |
| 刊名 | JOURNAL OF STATISTICAL PLANNING AND INFERENCE
 |
| 出版日期 | 2004-01-15 |
| 卷号 | 119期号:1页码:17-22 |
| 关键词 | James-Stein estimator positive-part rule risk quadratic loss |
| ISSN号 | 0378-3758 |
| 英文摘要 | There is now a sizeable literature dealing with point estimation using Stein-type estimators. As discussed in Rukhin (In: Gupta, S.S., Berger, J.O. (Eds.), Statistical Decision Theory and Related Topics, Vol. IV, Springer, New York, pp. 409-418), instances arise in practice in which an estimation rule is to be accompanied by an estimate of its loss, which is unobservable. In the context of estimating the mean vector of a multi-normal distribution assuming a known population variance, Johnstone (In: Gupta, S.S., Berger, J.O. (Eds.), Statistical Decision Theory and Related Topics, Vol. IV, Springer, New York, pp, 361-379) derived an estimator that dominates the unbiased estimator of the quadratic loss incurred by the James-Stein estimator. By applying the Stein's lemma, this note generalizes Johnstone's (In: Gupta, S.S., Berger, J.O. (Eds.), Statistical Decision Theory and Related Topics, Vol. IV, Springer, New York, pp. 361-379) analysis to the setting of the unknown population variance. Computational evidence is provided about the risk magnitude of loss estimators associated with the James-Stein point estimator and its positive-part version. (C) 2002 Elsevier B.V. All rights reserved. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000186911800002 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/19762]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Wan, ATK |
| 作者单位 | 1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China 3.Yale Univ, Dept Epidemiol & Publ Hlth, Div Biostat, New Haven, CT 06520 USA |
| 推荐引用方式 GB/T 7714 | Wan, ATK,Zou, GH. On unbiased and improved loss estimation for the mean of a multivariate normal distribution with unknown variance[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE,2004,119(1):17-22. |
| APA | Wan, ATK,&Zou, GH.(2004).On unbiased and improved loss estimation for the mean of a multivariate normal distribution with unknown variance.JOURNAL OF STATISTICAL PLANNING AND INFERENCE,119(1),17-22. |
| MLA | Wan, ATK,et al."On unbiased and improved loss estimation for the mean of a multivariate normal distribution with unknown variance".JOURNAL OF STATISTICAL PLANNING AND INFERENCE 119.1(2004):17-22. |
入库方式： OAI收割
来源：数学与系统科学研究院
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