inadmissibility of the maximum likelihood estimator of the inverse gaussian mean

The traditional estimator of the mean of an inverse Gaussian distribution is the sample mean, which is the maximum likelihood estimator and the best unbiased estimator. In this paper alternative estimators of this parameter are introduced. They are shown to improve under quadratic loss on the sample mean which establishes the inadmissibility of the latter. To illustrate the extent of the improvement some numerical results are given.

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Year of publication:	1990
Authors:	Hsieh, H. K. ; Korwar, R. M. ; Rukhin, A. L.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 9.1990, 1, p. 83-90
Publisher:	Elsevier
Keywords:	Inadmissibility inverse Gaussian distribution mean squared error sample mean

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

Persistent link: https://www.econbiz.de/10005254972