Minimax invariant estimation of a continuous distribution function under entropy loss

被引：0

作者：

Leila Mohammadi

Willem R. van Zwet

机构：

[1] Mathematical Institute,

[2] University of Leiden,undefined

[3] P.O. Box 9512,undefined

[4] 2300 RA Leiden,undefined

[5] The Netherlands. (e-mails: leila@math.leidenuniv.nl,undefined

[6] vanzwet@math.leidenuniv.nl),undefined

来源：

Metrika | 2002年 / 56卷

关键词：

Entropy; Distribution Function; Loss Function; Decision Problem; Continuous Distribution;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

For the invariant decision problem of estimating a continuous distribution function F with two entropy loss functions, it is proved that the best invariant estimators d0 exist and are the same as the best invariant estimator of a continuous distribution function under the squared error loss function L (F, d)=∫|F (t) −d (t) |2dF (t). They are minimax for any sample size n≥1.

引用

页码：31 / 42

页数：11

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