A graded scale of parametric families of distributions,and parameter estimates based on the sample mean |
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Authors: | A M Kagan |
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Abstract: | Summary Denote by
k
a class of familiesP={P} of distributions on the line R1 depending on a general scalar parameter , being an interval of R1, and such that the moments µ1()=xdP
,...,µ2k
()=x
2k
dP
are finite, 1 (), ..., k (), k+1 () ...,
k
() exist and are continuous, with 1 () 0, and
j
+1 ()= 1 ()
j
() +2() -1()2]
j
()/ 1 (), J=2, ..., k. Let 1=¯x=x
1 + ... +x
n/n, 2=x
1
2 + ... +x
n
2/n, ...,
k
=(x
1
k
+ ... +x
n
k/n denote the sample moments constructed for a sample x1, ..., xn from a population with distribution Pg. We prove that the estimator of the parameter by the method of moments determined from the equation 1= 1() and depending on the observations x1, ..., xn only via the sample mean ¯x is asymptotically admissible (and optimal) in the class
k
of the estimators determined by the estimator equations of the form 0 () + 1 () 1 + ... +
k
()
k
=0 if and only ifP
k
.The asymptotic admissibility (respectively, optimality) means that the variance of the limit, as n (normal) distribution of an estimator normalized in a standard way is less than the same characteristic for any estimator in the class under consideration for at least one 9 (respectively, for every ).The scales arise of classes
1
2... of parametric families and of classes 1 2 ... of estimators related so that the asymptotic admissibility of an estimator by the method of moments in the class
k
is equivalent to the membership of the familyP in the class
k
.The intersection consists only of the families of distributions with densities of the form h(x) exp {C0() + C1() x } when for the latter the problem of moments is definite, that is, there is no other family with the same moments 1 (), 2 (), ...Such scales in the problem of estimating the location parameter were predicted by Linnik about 20 years ago and were constructed by the author in 1] (see also 2, 3]) in exact, not asymptotic, formulation.Translated from Problemy Ustoichivosti Stokhasticheskikh Modelei, pp. 41–47, 1981. |
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Keywords: | |
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