The problem of estimating powers of the variance of a normal distribution is considered when loss is essentially squared error. A class of minimax estimators is found by extending the techniques of Stein. It is shown, at least for estimating the variance, that a subclass of the above consists of generalized Bayes estimators.
Publié le : 1974-01-14
Classification:
Minimax,
generalized Bayes,
variance,
invariance,
point estimation,
62F10,
62C99
@article{1176342625,
author = {Strawderman, William E.},
title = {Minimax Estimation of Powers of the Variance of a Normal Population Under Squared Error Loss},
journal = {Ann. Statist.},
volume = {2},
number = {1},
year = {1974},
pages = { 190-198},
language = {en},
url = {http://dml.mathdoc.fr/item/1176342625}
}
Strawderman, William E. Minimax Estimation of Powers of the Variance of a Normal Population Under Squared Error Loss. Ann. Statist., Tome 2 (1974) no. 1, pp. 190-198. http://gdmltest.u-ga.fr/item/1176342625/