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

DOI10.1016/J.JSPI.2012.01.002zbMATH Open1242.62026OpenAlexW2005899734MaRDI QIDQ434565FDOQ434565

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

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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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• The Kullback-Leibler risk of the Stein estimator and the conditional MLE
• Recursive nonlinear estimation. A geometric approach
• Desiderata for a predictive theory of statistics
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Cited In (7)

• Generalized estimators, slope, efficiency, and Fisher information bounds
• Estimators for the binomial distribution that dominate the MLE in terms of Kullback-Leibler risk
• Lower bounds for the trade-off between bias and mean absolute deviation
• 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
• 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
• 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

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