Exponential dispersion models: second-order minimax estimation of the mean for unknown dispersion parameter

DOI10.1016/J.JSPI.2005.05.003zbMATH Open1104.62004OpenAlexW1996186391MaRDI QIDQ2500643FDOQ2500643

Zinoviy Landsman, Shaul K. Bar-Lev

Publication date: 17 August 2006

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

Full work available at URL: https://doi.org/10.1016/j.jspi.2005.05.003

zbMATH Keywords

generalized Bayes estimatornatural exponential familyvariance functionexponential dispersion modelTweedie classsecond-order minimaxity

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20)

Cites Work

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• Natural real exponential families with cubic variance functions
• The student t-distribution of any degree of freedom is infinitely divisible
• Reproducibility and natural exponential families with power variance functions
• La convergence des fonctions variance des familles exponentielles naturelles
• Second-order minimax estimation of the mean value for exponential dispersion models
• On extreme stable laws and some applications
• A classification of reproducible natural exponential families in the broad sense

Cited In (4)

• Intrinsic objective Bayesian estimation of the mean of the Tweedie family
• Second-order minimax estimation of the mean value for exponential dispersion models
• Second order minimax estimation of the mean
• On the mean value parametrization of natural exponential families -- a revisited review

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