Quadratic estimators of quadratic functions of normal parameters

admissibility generalized Bayes estimator necessary and sufficient condition normal parameters quadratic loss scaled quadratic loss square root transformation

Mathematics Subject Classification ID

Admissibility in statistical decision theory (62C15) Minimax procedures in statistical decision theory (62C20) Point estimation (62F10)

Review text

When, for \(n\geq 2\), \(X_ 1,...,X_ n\) is a normal random sample with unknown mean \(\xi\) and unknown standard deviation \(\sigma\), the estimation problem of the form \(\theta =\xi^ 2+b\sigma^ 2\) under quadratic loss is considered, where b is a given non-negative number. The author discusses the admissibility of the estimator \[ \delta_ 0(\bar X,S)=\bar X^ 2+S^ 2(bn-1)\{n(n+1)\}^{-1} \] for the scaled quadratic loss \(L(\xi,\sigma,\delta)=(\theta -\delta)^ 2\sigma^{-4}\), under which \(\delta_ 0\) has a constant risk, where \(\bar X=\sum^{n}_{i=1}X_ i/n\) and \(S^ 2=\sum^{n}_{i=1}(X_ i-\bar X)^ 2\). In fact the estimator \(\delta_ 0\) is shown to be inadmissible in the case when \(n^{-1}\leq b<1+2n^{-1}\). It is also shown that \(\delta_ 0\) is admissible if and only if \(1+2n^{-1}\leq b<2+3n^{- 1}\), and that \(\delta_ 0\) is a generalized Bayes estimator with respect to a prior which admits a good approximation, in terms of posterior risk, by probability priors.

Recommendations

Cites work

Cited in

(16)

This page was built for publication: Quadratic estimators of quadratic functions of normal parameters

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1086935)