On the non existence of unbiased estimators of risk for spherically symmetric distributions

We study existence of unbiased estimators of risk for estimators of the location parameter of a spherically symmetric distribution, when a residual vector is available to estimate scale, under invariant quadratic loss. We show such existence often characterizes normality.

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Year of publication:	2014
Authors:	Fourdrinier, Dominique ; Strawderman, William
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 91.2014, C, p. 6-13
Publisher:	Elsevier
Subject:	Stein type identity \| Location parameter \| Spherically symmetric distributions \| Invariant losses \| Data-based losses \| Unbiased estimators of risk

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

Persistent link: https://www.econbiz.de/10010776526