The Pitman comparison of unbiased linear estimators

The canonical form for the comparison of certain linear estimators using Pitman's Measure of Closeness is generalized to the class of all linear estimators. Under the assumption of normality, the equivalence of Pitman-closest linear unbiased estimators and best linear unbiased estimators is shown. A sufficient condition is given for which the BLUE will be Pitman-closer than the best linear equivalent estimator (BLEE).

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Year of publication:	1994
Authors:	Fountain, Robert L. ; Keating, Jerome P.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 19.1994, 2, p. 131-136
Publisher:	Elsevier
Keywords:	Pitman's measure of closeness order statistics best linear unbiased estimators best linear equivariant estimators

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

Persistent link: https://www.econbiz.de/10005319658