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\\(\\{X_i; i\\geq 1\\}\\) be independent and identically distributed (i.i.d.) random variables with probability density function \\(\\sigma^{-1}((x-\\mu) /\\sigma)\\) with respect to the Lebesgue measure, where \\(f\\) is known and \\(\\theta= (\\mu,\\sigma)\\) \\((\\sigma>0)\\) is unknown. We consider estimating \\(\\mu\\) under the loss function \\(L(\\theta,d)= \\rho(d-\\mu)\\), where \\(\\rho(u)\\) is nonincreasing for \\(u<0\\), nondecreasing for \\(u>0\\) and \\(\\rho(0)=0\\). Let \\[ M_{\\min} =\\min(m_-, m_+), \\quad M_{\\max}= \\max(m_-,m_+), \\] where \\(m_-= \\lim_{u\\to-\\infty} \\rho(u)\\) and \\(m_+= \\lim_{u\\to \\infty} \\rho(u)\\), which may be infinity. Let \\(\\delta (\\mathbf {X})\\) be an estimator based on \\(\\mathbf{X}= (X_1,\\dots,X_n)\\). Then the purpose of this paper is to find if there exists an estimator \\(\\delta(\\mathbf {X})\\) such that \\[ E_\\theta\\biggl\\{ L\\bigl(\\theta, \\delta(\\mathbf{X}) \\bigr) \\biggr\\}\\leq W,\\tag{1} \\] for all \\(\\theta\\), where \\(W(>0)\\) is a given constant. Under a symmetric loss function \\textit{E. L. Lehmann} [Notes on the theory of estimation. Univ. California Press (1951)] showed that if the sample size \\(n\\) is predetermined, then no estimators meet (1) for \\(W<M_{\\min} (=M_{\\max})\\). In Section 2 we shall show that the nonexistence is also true for an asymmetric loss function if \\(W< M_{\\min}\\), but there does exist such an estimator if \\(M_{\\min} <W<M_{\\max} < \\infty\\). However, we can not show if the result also holds when \\(M_{\\max}= \\infty\\). In Section 3 employing two-stage procedures by \\textit{C. Stein} [Ann. Math. Statist 16, 243-258 (1945; Zbl 0060.30403)] we shall show that it is possible to construct an estimator meeting the requirement (1) for some distributions. Section 4 is devoted to the normal distribution and discusses the property of the proposed two-stage procedure.","type":"string"},"datatype":"string"},"type":"statement","id":"Q4248580$FAB6FDAA-E871-4665-9482-9AF3E981639B","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:4248580","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:4248580"}}}}}