Pitman-closeness of some preliminary test and shrinkage estimators |
| |
| Authors: | A K Md Ehsanes Saleh P K Sen |
| |
| Institution: | 1. Department of Mathematics and Statistics , Carleton University , Ottawa, K1S 5B6, Canada;2. Department of Biostatistics and Statistics , University of North Carolina , Chapel Hill, NC 27599-7400 |
| |
| Abstract: | For the model X ～ Np: (θ,I)preliminary test estimator (PTE), shrinkage and positive-rule versions of the MLE (X) of θare mutually compared in the light of the Pitman closeness measure. The usual dominance properties of these estimators pertaining to the conventional quadratic loss criterion are shown to remain intact in the current context too. In an asymptotic setup, the conclusions hold for a much wider class of estimators pertaining to general parametric and nonparametric models. |
| |
| Keywords: | Dominance Pitman-closeness criterion positive-rule estimator preliminary test estimator quadratic loss shrinkage (Stein-rule) estimator |
|
|
