Improved estimation of the generalized precision under the entropy loss

被引：0

作者：

Sun Xiaoqian

Pang Wankai

机构：

[1] East China Normal University,Department of Statistics

[2] The Hong Kong Polytechnic University,Department of Applied Mathematics

[3] Huaiyin Teachers’ College,Department of Mathematics

来源：

Acta Mathematicae Applicatae Sinica | 2000年 / 16卷 / 2期

关键词：

Best affine equivariant estimator; generalized precision; inadmissibility; entropy loss;

D O I：

10.1007/BF02677676

中图分类号：

学科分类号：

摘要：

LetX1, …,Xn be a random sample from multivariate normal distributionNp(μ,Φ), where μεRp and Φ is a positive definite matrix, both μ and Φ being unknown. It is shown that for the entropy lossL(\Gd,\vb\bE\vb-1)= \Gd/\vb\bE\vb-1-log(\Gd/\vb\bE\vb-1)-1, the best affine equivariant estimator of the generalized precision \vb\bE\vb-1 is inadmissible and three classes of immproved estimators are given.

引用

页码：162 / 170

页数：8

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