Universal estimators of a vector parameter

DOI10.1016/0047-259X(84)90001-0MaRDI QIDQ791240zbMATH OpenFDO

Authors Andrew L. Rukhin

Publication date 1984

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(84)90001-0

zbMATH Keywords

exponential familyfunctional equation of D'Alembert typegeneralized Bayes estimatorgeneralized prior densitiessymmetric loss functionsuniversal estimatorsvector parameter

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Point estimation (62F10) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Review text

\(X_ 1,...,X_ n\) are independent and identically distributed random variables, the common distribution depending on unknown parameters \(\theta_ 1,...,\theta_ m\). The problem is to find a characterization of the distributions of \(X_ 1\) and the generalized prior densities for \((\theta_ 1,...,\theta_ m)\) for which the generalized Bayes estimator of \((\theta_ 1,...,\theta_ m)\) is the same for all loss functions in a certain class of symmetric loss functions. For the case \(m=1\) the author solved this problem in his paper Ann. Stat. 6, 1345-1351 (1978; Zbl 0392.62023). The present paper gives the solution for general m.

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