Simultaneous estimation of parameters under entropy loss

Dipak K. Dey; Malay Ghosh; C. Srinivasan

doi:10.1016/0378-3758(86)90108-4

Simultaneous estimation of parameters under entropy loss

Dipak K. Dey
, Malay Ghosh
, C. Srinivasan

Dr. Bing Zhang Department of Statistics

Producción científica: Article › revisión exhaustiva

84 Citas (Scopus)

Resumen

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.

Idioma original	English
Páginas (desde-hasta)	347-363
Número de páginas	17
Publicación	Journal of Statistical Planning and Inference
Volumen	15
N.º	C
DOI	https://doi.org/10.1016/0378-3758(86)90108-4
Estado	Published - 1986

Nota bibliográfica

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.

Financiación

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.

Financiadores	Número del financiador
National Science Foundation (NSF)	MCS-8212968, DMS-8218091

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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title = "Simultaneous estimation of parameters under entropy loss",

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.",

keywords = "Admissibility, Best invariant estimators, Differential inequalities, Entropy loss, Gamma scale parameters, Inadmissible estimators, Simultaneous estimation, Trimmed estimators",

author = "Dey, \{Dipak K.\} and Malay Ghosh and C. Srinivasan",

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.",

year = "1986",

doi = "10.1016/0378-3758(86)90108-4",

language = "English",

volume = "15",

pages = "347--363",

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TY - JOUR

T1 - Simultaneous estimation of parameters under entropy loss

AU - Dey, Dipak K.

AU - Ghosh, Malay

AU - Srinivasan, C.

N1 - 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.

PY - 1986

Y1 - 1986

N2 - 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.

AB - 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.

KW - Admissibility

KW - Best invariant estimators

KW - Differential inequalities

KW - Entropy loss

KW - Gamma scale parameters

KW - Inadmissible estimators

KW - Simultaneous estimation

KW - Trimmed estimators

UR - https://www.scopus.com/pages/publications/46149142060

UR - https://www.scopus.com/pages/publications/46149142060#tab=citedBy

U2 - 10.1016/0378-3758(86)90108-4

DO - 10.1016/0378-3758(86)90108-4

M3 - Article

AN - SCOPUS:46149142060

SN - 0378-3758

VL - 15

SP - 347

EP - 363

JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

IS - C

ER -

Simultaneous estimation of parameters under entropy loss

Resumen

Nota bibliográfica

Financiación

ASJC Scopus subject areas

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