Examples of the effcct of the loss function on the best equzvarlhnt estimator |
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Authors: | Javier Rojo |
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Affiliation: | Department of Mathematical Sciences , The University of Texas at El Paso , El Paso, 79968, Texas |
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Abstract: | In point estimation, squared error loss is usually used because of its mathematical convenience. In some cases this choice of loss function does not have any effecton the comparison of pr cedures or on the nature of an optimalone. Some examples are considered here which illustrate the large quantitative effect the loss function may have on the optimal Procedures. |
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Keywords: | Huber loss Basu's theorem Accuracy of estimator |
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