An application of the Rao-Blackwell theorem in preliminary test estimators

Preliminary test estimators are defined for estimating vector parameters. This note illustrates the use of the Rao-Blackwell theorem for uniformly reducing the risk of these estimators when one is based upon the sufficient statistic. The results given are valid for a class of risk functions, including the generalized mean squared error, the trace, and the largest characteristic root.

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Year of publication:	1972
Authors:	Arnold, J. C. ; Katti, S. K.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 2.1972, 2, p. 236-238
Publisher:	Elsevier
Keywords:	Rao-Blackwell theorem preliminary test estimators generalized mean squared error trace largest characteristic root

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

Persistent link: https://www.econbiz.de/10005153019