Estimation of the noncentrality parameter of an F-distribution

DOI10.1016/0378-3758(93)90045-8MaRDI QIDQ2365879zbMATH OpenOpenAlexFDO

Authors Andrew L. Rukhin

Publication date 29 June 1993

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(93)90045-8

zbMATH Keywords

difference in risksintegro- differential operatorlinear estimatorsnoncentral \(F\)-distributionnoncentrality parameterpermissibilityquadratic lossunbiased risk estimate

Mathematics Subject Classification ID

Admissibility in statistical decision theory (62C15) Point estimation (62F10) Hypothesis testing in multivariate analysis (62H15)

Review text

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.

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Cites work

• A complete class theorem for estimating a noncentrality parameter
• Computation of the maximum likelihood estimate of a noncentrality parameter
• Estimation in noncentral distributions
• Estimation of the non-centrality parameter of a chi squared distribution
• Further remarks on estimating the parameter of a noncentral chi-square distribution
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• Some remarks on estimating a noncentrality parameter
• The Maximum Likelihood Estimate of the Non-Centrality Parameter of a Non-Central χ 2 Variate

Cited in

(12)

• Inference of non-centrality parameter of a truncated non-central chi-squared distribution
• On point estimation of the abnormality of a Mahalanobis index
• A unified approach to estimation of noncentrality parameters, the multiple correlation coefficient, and mixture models
• Estimation of the eigenvalues of noncentrality parameter in matrix variate noncentral beta distribution
• On estimating the non-centrality parameter of a chi-squared distribution
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• Testing the Equality of the Noncentrality Parameters of Two Noncentralt-Distributions with Identical Degrees of Freedom
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• Non-central generalized F distributions

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