On the structure of UMVUEs

DOI10.1007/S13171-015-0076-5MaRDI QIDQ288267zbMATH OpenOpenAlexFDO

Authors Yaakov Malinovsky, Abram M. Kagan

Publication date 25 May 2016

Published in Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.02769

zbMATH Keywords

sufficiencycategorical datacompletenessMVE-algebra

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Sufficiency and information (62B99)

Abstract: In all setups when the structure of UMVUEs is known, there exists a subalgebra $calU$ (MVE-algebra) of the basic $sigma$-algebra such that all $calU$-measurable statistics with finite second moments are UMVUEs. It is shown that MVE-algebras are, in a sense, similar to the subalgebras generated by complete sufficient statistics. Examples are given when these subalgebras differ, in these cases a new statistical structure arises.

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