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A MOMENT IDENTITY |
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| Authors: | MC Jones |
| Institution: | University of Birmingham, U.K. |
| Abstract: | A moment identity based on the concept of weighted distributions is presented. The identity has potential applications to problems involving the manipulation of expectations of functions of random variables. Several examples, mainly concerning the evaluation of the risk of shrinkage estimators of several parameters, are given. |
| Keywords: | Weighted distributions Simultaneous parameter estimation |