Stein-type improved estimation of standard error under asymmetric LINEX loss function

doi:10.1080/02331880802190422

CSpace

	Stein-type improved estimation of standard error under asymmetric LINEX loss function
	Zou, Guohua 1,2; Zeng, Jie 1; Wan, Alan T. K.3; Guan, Zhong 4
	2009
发表期刊	STATISTICS
ISSN	0233-1888
卷号	43 期号:2 页码:121-129
摘要	This paper considers the estimation of standard error. More than 40 years ago, Stein [C. Stein, Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean, Ann. Institute Statist. Math. 16 (1964), pp. 155-160] proposed a classical improved estimator over the minimum risk equivariant estimator under quadratic loss. This is a textbook result. A generalization of quadratic loss is LINEX loss which considers asymmetric penalty of overestimation and underestimation. What is the corresponding version to Stein's improved estimator under LINEX loss? The problem has not been solved yet. This paper gives us an answer. Our method also applies to some other loss functions such as quadratic loss and entropy loss.
关键词	LINEX loss minimum risk equivariant estimator pre-test estimation standard error Stein-type improved estimator
DOI	10.1080/02331880802190422
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000264336800002
出版者	TAYLOR & FRANCIS LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/8031
专题	中国科学院数学与系统科学研究院
通讯作者	Zou, Guohua
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Univ Rochester, Dept Biostat & Computat Biol, Rochester, NY USA 3.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 4.Indiana Univ, Dept Math Sci, South Bend, IN 46615 USA
推荐引用方式 GB/T 7714	Zou, Guohua,Zeng, Jie,Wan, Alan T. K.,et al. Stein-type improved estimation of standard error under asymmetric LINEX loss function[J]. STATISTICS,2009,43(2):121-129.
APA	Zou, Guohua,Zeng, Jie,Wan, Alan T. K.,&Guan, Zhong.(2009).Stein-type improved estimation of standard error under asymmetric LINEX loss function.STATISTICS,43(2),121-129.
MLA	Zou, Guohua,et al."Stein-type improved estimation of standard error under asymmetric LINEX loss function".STATISTICS 43.2(2009):121-129.