Decomposition of Kullback-Leibler risk and unbiasedness for parameter-free estimators

DOI10.1016/J.JSPI.2012.01.002MaRDI QIDQ434565zbMATHOpenAlexFDO

Authors Qiang Wu, Paul Vos

Publication date 16 July 2012

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.2012.01.002

zbMATH Keywords

\(\mathcal P\)-bias\(\mathcal P\)-variancedistribution unbiaseddual KL riskKL biasKL meanKL riskKL variance

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Genetics and epigenetics (92D10)

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Cited in

(7)

• Maximum likelihood estimators uniformly minimize distribution variance among distribution unbiased estimators in exponential families
• The Kullback-Leibler risk of the Stein estimator and the conditional MLE
• Lower bounds for the trade-off between bias and mean absolute deviation
• Estimators for the binomial distribution that dominate the MLE in terms of Kullback-Leibler risk
• Letter to the Editor: Zhang, J. (2021), “The Mean Relative Entropy: An Invariant Measure of Estimation Error,” The American Statistician, 75, 117–123: comment by Vos and Wu
• Generalized estimators, slope, efficiency, and Fisher information bounds
• Using geometry to select one dimensional exponential families that are monotone likelihood ratio in the sample space, are weakly unimodal and can be parametrized by a measure of central tendency

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