The Annals of Statistics

Construction of Improved Estimators in Multiparameter Estimation for Discrete Exponential Families

Malay Ghosh, Jiunn Tzon Hwang, and Kam-Wah Tsui

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Abstract

This paper extends and unifies the theory of simultaneous estimation for the discrete exponential family. We discuss construction of estimators which theoretically dominate the uniformly minimum variance unbiased estimator (UMVUE) under a weighted squared error loss function, and show by means of computer simulation results that new simultaneous Poisson means estimators perform more favorably than those previously proposed. Our improved estimators shift the UMVUE towards a possibly nonzero point or a data-based point.

Article information

Source
Ann. Statist., Volume 11, Number 2 (1983), 351-367.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176346143

Digital Object Identifier
doi:10.1214/aos/1176346143

Mathematical Reviews number (MathSciNet)
MR696053

Zentralblatt MATH identifier
0533.62027

JSTOR
links.jstor.org

Subjects
Primary: 62C15: Admissibility
Secondary: 62F10: Point estimation 62H99: None of the above, but in this section

Keywords
Difference inequality differential inequality exponential family improved estimator UMVUE adaptive estimators Poisson negative binomial simultaneous estimation

Citation

Ghosh, Malay; Hwang, Jiunn Tzon; Tsui, Kam-Wah. Construction of Improved Estimators in Multiparameter Estimation for Discrete Exponential Families. Ann. Statist. 11 (1983), no. 2, 351--367. doi:10.1214/aos/1176346143. https://projecteuclid.org/euclid.aos/1176346143


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