Simultaneous estimation of parameters under entropy loss (Q1086927)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Simultaneous estimation of parameters under entropy loss
scientific article

    Statements

    Simultaneous estimation of parameters under entropy loss (English)
    0 references
    0 references
    1987
    0 references
    The authors consider the simultaneous estimation of the mean-vector, and the vector of reciprocals of the means from p independent gamma distributions. Under the entropy loss, the admissibility of the best scale invariant estimator is proved when \(p=2\) and some conditions on the shape parameters hold. When \(p\geq 3\), its inadmissibility is proved and several improved estimators are obtained. The authors also obtain a result showing the inadmissibility of the generalized Bayes estimators of a vector consisting of certain powers of the scale parameter. An analogous loss to the above was discussed in \textit{W. James} and \textit{C. Stein} [Estimation with quadratic loss. Proc. 4th Berkeley Sympos. math. statist. Probab. 1, 361-379 (1961)], for the estimation of the variance-covariance matrix of a multinormal distribution.
    0 references
    0 references
    0 references
    0 references
    0 references
    differential inequalities
    0 references
    simultaneous estimation
    0 references
    mean-vector
    0 references
    vector of reciprocals
    0 references
    gamma distributions
    0 references
    entropy loss
    0 references
    admissibility
    0 references
    best scale invariant estimator
    0 references
    inadmissibility
    0 references
    generalized Bayes estimators
    0 references
    0 references