Estimation of a non-negative location parameter with unknown scale
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Abstract: For normal canonical models, and more generally a vast array of general spherically symmetric location-scale models with a residual vector, we consider estimating the (univariate) location parameter when it is lower bounded. We provide conditions for estimators to dominate the benchmark minimax MRE estimator, and thus be minimax under scale invariant loss. These minimax estimators include the generalized Bayes estimator with respect to the truncation of the common non-informative prior onto the restricted parameter space for normal models under general convex symmetric loss, as well as non-normal models under scale invariant loss with . We cover many other situations when the loss is asymmetric, and where other generalized Bayes estimators, obtained with different powers of the scale parameter in the prior measure, are proven to be minimax. We rely on various novel representations, sharp sign change analyses, as well as capitalize on Kubokawa's integral expression for risk difference technique. Several other analytical properties are obtained, including a robustness property of the generalized Bayes estimators above when the loss is either scale invariant or asymmetrized versions. Applications include inference in two-sample normal model with order constraints on the means.
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- scientific article; zbMATH DE number 3984308 (Why is no real title available?)
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Cited in
(4)- Wavelet threshold based on Stein's unbiased risk estimators of restricted location parameter in multivariate normal
- On Improved Estimates of Location in the Presence of an Unknown Scale
- The estimation of a location parameter when the scale parameter is confined to a finite range: The notion of a generalized ancillary statistic
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