Semi Tail Upper Bounds on the Class of Admissible Estimators in Discrete Exponential Families with Applications to Poisson and Negative Binomial Distributions

Hwang, Jiunn Tzon

Ann. Statist., Tome 10 (1982) no. 1, p. 1137-1147 / Harvested from Project Euclid

Résumé

Admissibility problems involving simultaneous estimation in discrete exponential families are studied by solving difference inequalities. It is shown that if an estimator is admissible under the loss function $L_m(\mathbf{\theta, a)} = \sum^p_{i = 1} \theta^{m_i}_i (\theta_i - a_i)^2$, then in the tail (i.e., for large values of the observations), this estimator has to be less than certain bounds. Specific bounds, called Semi Tail Upper Bounds (STUB), are given here. These STUBs are not only of theoretical interest, but also are sharp enough that they establish many new results. Two of the most interesting ones are: (i) the establishment of Brown's conjecture concerning inadmissibility of some of the estimators proposed by Clevenson and Zidek (1975), and (ii) the establishment of inadmissibility of Hudson's (1978) estimator which improves upon the uniformly minimum variance unbiased estimator in Negative Binomial families.

Détail

Publié le : 1982-12-14
Classification:  Admissibility,  difference inequality,  discrete exponential family,  loss function,  negative binomial distribution,  Poisson distribution,  62C15,  62F10,  62H99,  39A10