Risk behavior of variance estimators in multivariate normal distribution
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Publication:1186044
DOI10.1016/0167-7152(92)90091-IzbMath0743.62043MaRDI QIDQ1186044
Malwane M. A. Ananda, Andrew. L. Rukhin
Publication date: 28 June 1992
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
confluent hypergeometric functionentropy lossquadratic lossunknown varianceadmissible Brewster-Zidek estimatorasymptotically inadmissible Stein estimatorbehavior of risk functionsmultivariate normal vector
Related Items (26)
Empirical Bayes Inference for Generalized Exponential Distribution Based on Records ⋮ On the invariant estimation of a normal variance ratio ⋮ The exact distribution and density functions of the stein-type estimator for normal variance ⋮ On the admissibility and inadmissibility of estimators of scale parameters using an asymmetric loss function ⋮ Some modifications of improved estimators of a normal variance ⋮ Improved minimax estimation of powers of the variance of a multivariate normal distribution under the entropy loss function ⋮ Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results ⋮ Optimal rules and robust Bayes estimation of a gamma scale parameter ⋮ Estimation of scale parameter under entropy loss function ⋮ A Bayesian analysis of record statistics from the Gompertz model ⋮ The neyman accuracy and the wolfowitz accuracy of the stein type confidence interval for the disturbance variance ⋮ Posterior Regret Γ-Minimax Estimation and Prediction with Applications onk-Records Data Under Entropy Loss Function ⋮ Asymptotic variance estimation in multivariate distributions ⋮ Comparison of normal variance estimators under multiple criteria and towards a compromise estimator ⋮ Stein-type improved estimation of standard error under asymmetric LINEX loss function ⋮ Alternative estimators for the variance of several normal populations ⋮ Bayes and stein estimation under asymmetric loss functions:a numerical risk comparison ⋮ Asymptotic risk behavior of mean vector and variance estimators and the problem of positive normal mean ⋮ Estimation of the entropy of a multivariate normal distribution ⋮ Estimation of a scale parameter in mixture models with unknown location ⋮ Empirical Bayes analysis of record statistics based on linex and quadratic loss functions ⋮ On the estimation of a normal precision and a normal variance ratio ⋮ A study of the effect of loss functions on the Bayes estimates of dynamic cumulative residual entropy for Pareto distribution under upper record values ⋮ Estimation of a normal variance -- a critical review ⋮ Improving on the best affine equivariant estimator of the ratio of generalized variances ⋮ Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure
Cites Work
- Selecting a minimax estimator of a multivariate normal mean
- Minimax estimation of powers of the variance of a normal population under squared error loss
- Developments in decision-theoretic variance estimation. With comments and a rejoinder by the authors
- Improving on equivariant estimators
- Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
- Inadmissibility of the Usual Estimators of Scale parameters in Problems with Unknown Location and Scale Parameters
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