Inadmissibility Results for Generalized Bayes Estimators of Coordinates of a Location Vector
Berger, James O.
Ann. Statist., Tome 4 (1976) no. 1, p. 302-333 / Harvested from Project Euclid
Let $X = (X_1, \cdots, X_n)$ be an $n$-dimensional random vector with density $f(x - \theta)$. Assume the loss incurred in estimating $\theta$ by $d$ is $L(d - \theta)$ and is convex. Let $F$ be a generalized prior density. The question of inadmissibility of generalized Bayes estimators of $\theta$ is considered. As in Brown (1974c), the crucial role played by the "moment structure" in determining inadmissibility results is indicated (moments defined as the quantities $m_{i,j(1), \cdots, j(l)} = \int \prod^l_{k=1} x_{j(k)} \cdot \lbrack(\partial/\partial x_i)L(x)\rbrack f(x) dx)$. Detailed inadmissibility results are given for a particular moment structure, one which arises most naturally in trying to estimate a single coordinate or a linear combination of coordinates of $\theta$. For example, suppose $\theta_1$ is to be estimated by the generalized Bayes estimator $\delta_F$. (Thus $\theta_2, \cdots, \theta_n$ are nuisance parameters.) Under certain conditions, the most important being that the moment structure be of a certain form, it is shown that if there exist constants $\lambda > 0$ and $T > 0$ such that $\delta_F(x) \geqq x_1 - (n - 3 - \lambda)\big/ \big\lbrack 2x_1 \int\big(\frac{\partial^2}{\partial x_1^2} L(x)\big) f(x) dx\big\rbrack \quad \text{for} x_1 > T,$ then $\delta_F$ is inadmissible. Thus, for example, under certain quite general assumptions, the best invariant estimator, $\delta_0(x) = X_1$, of the first coordinate of a location vector is inadmissible if $n \geqq 4$.
Publié le : 1976-03-14
Classification:  Inadmissibility,  generalized Bayes estimators,  location vector,  62C15,  62F10,  62H99
@article{1176343409,
     author = {Berger, James O.},
     title = {Inadmissibility Results for Generalized Bayes Estimators of Coordinates of a Location Vector},
     journal = {Ann. Statist.},
     volume = {4},
     number = {1},
     year = {1976},
     pages = { 302-333},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343409}
}
Berger, James O. Inadmissibility Results for Generalized Bayes Estimators of Coordinates of a Location Vector. Ann. Statist., Tome 4 (1976) no. 1, pp.  302-333. http://gdmltest.u-ga.fr/item/1176343409/