Accession Number : ADA191108

Title :   Improved Estimators in Simultaneous Estimation of Scale Parameters.

Descriptive Note : Technical rept.,

Corporate Author : STANFORD UNIV CA DEPT OF STATISTICS

Personal Author(s) : Dey, Dipak K ; Gelfand, Alan E

PDF Url : ADA191108

Report Date : 10 Dec 1987

Pagination or Media Count : 25

Abstract : A general class of estimators is developed for improving upon best scale invariant estimators of two or more arbitrary scale parameters (or powers thereof) for arbitrary positive distributions with sufficient moments under weighted squared error loss function. The technique is to compute the risk difference in terms of moments of the distribution. Some conditions are obtained under which the maximum improvement is possible, and the form of the estimator can be chosen to achieve this maximum along any specified ray. The result is then extended to the estimation of a linear transform of the parameter vector. Finally, some examples are given with numerical calculations to obtain the amount of risk improvement.

Descriptors :   *ESTIMATES, *PARAMETERS, *MULTIVARIATE ANALYSIS, COMPUTATIONS, DISTRIBUTION, MOMENTS, NUMERICAL ANALYSIS, RISK, SCALE

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE