Estimation of the noncentrality parameter of an \(F\)-distribution (Q2365879)

The problem of estimating the noncentrality parameter \(\xi\) of an \(F\)- distribution is considered. The problem emerges in the multivariate statistical analysis where the noncentral \(F\)-distribution occurs in statistical testing procedures and confidence sets. The author derives an unbiased estimate of the difference in risks of estimators of \(\xi\), which is given by an integro-differential operator, and establishes admissibility of some linear estimators with respect to the ordering defined by this operator.