Simultaneous estimation of parameters under entropy loss

Dipak K. Dey, Malay Ghosh, C. Srinivasan

Research output: Contribution to journalArticlepeer-review

63 Scopus citations

Abstract

The problem considered is simultaneous estimation of scale parameters and their reciprocals from p independent gamma distributions under a scale invariant loss function first introduced in James and Stein (1961). Under mild restrictions on the shape parameters, the best scale invariant estimators are shown to be admissible for p = 2. For p ≥ 3, a general technique is developed for improving upon the best scale invariant estimators. Improvement on the generalized Bayes estimators of a vector involving certain powers of the scale parameter is also obtained.

Original languageEnglish
Pages (from-to)347-363
Number of pages17
JournalJournal of Statistical Planning and Inference
Volume15
Issue numberC
DOIs
StatePublished - 1986

Bibliographical note

Funding Information:
t The order of the authors' names is alphabetical, and does not indicate their relative contributions to the paper. * Research supported by NSF Grant Number DMS-8218091. ** Research supported by the NSF Grant Number MCS-8212968.

Keywords

  • Admissibility
  • Best invariant estimators
  • Differential inequalities
  • Entropy loss
  • Gamma scale parameters
  • Inadmissible estimators
  • Simultaneous estimation
  • Trimmed estimators

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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