Improved estimation of the generalized precision under the entropy loss |
| |
| Authors: | Sun Xiaoqian Pang Wankai |
| |
| Institution: | (1) Department of Statistics, East China Normal University, 200062 Shanghai, China;(2) Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, China;(3) Present address: Department of Mathematics, Huaiyin Teachers’ College, Jiangu, China |
| |
| Abstract: | LetX
1
, …,X
n
be a random sample from multivariate normal distributionN
p
(μ,Φ), where μεR
p
and Φ is a positive definite matrix, both μ and Φ being unknown. It is shown that for the entropy lossL(\Gd,\vb\bE\vb-1)= \Gd/\vb\bE\vb-1-log(\Gd/\vb\bE\vb-1)-1, the best affine equivariant estimator of the generalized precision \vb\bE\vb-1 is inadmissible and three classes of immproved estimators are given.
This project is supported by the National Natural Science Foundation of China |
| |
| Keywords: | Best affine equivariant estimator generalized precision inadmissibility entropy loss |
| 本文献已被 CNKI SpringerLink 等数据库收录！ |
|
