An admissible minimax estimator of a bounded scale-parameter in a subclass of the exponential family under scale-invariant squared-error loss

A subclass of the scale-parameter exponential family is considered and for the rth power of the scale parameter, which is lower bounded, an admissible minimax estimator under scale-invariant squared-error loss is presented. Also, an admissible minimax estimator of a lower-bounded parameter in the family of transformed chi-square distributions is given. These estimators are the pointwise limits of a sequence of Bayes estimators. Some examples are given.

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Year of publication:	2002
Authors:	Jozani, Mohammad Jafari ; Nematollahi, Nader ; Shafie, Khalil
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 60.2002, 4, p. 437-444
Publisher:	Elsevier
Keywords:	Truncated parameter space Minimax estimation Admissibility Exponential family Transformed chi-square distribution Scale-invariant squared-error loss

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005053150