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
收藏
页码：162 / 170
页数：8
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