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Linex Unbiasedness in a Prediction Problem |
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| Authors: | Yushan Xiao |
| Affiliation: | (1) Graduate School of Science and Technology, Kumamoto University, Kumamoto, 860-8555, Japan |
| Abstract: | A statistical prediction problem under LINEX loss function is considered. Some results about LINEX-unbiased predictor are derived and the best LINEX-unbiased predictor is given. We also show that the best risk-unbiased predictor is equal to the best equivariant predictor in the location family. |
| Keywords: | Prediction problem risk unbiasedness LINEX loss function adequate statistic Rao-Blackwell theorem location family equivariant predictor |
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