On the Translation Parameter Problem for Discrete Variables
Blackwell, David
Ann. Math. Statist., Tome 22 (1951) no. 4, p. 393-399 / Harvested from Project Euclid
For any chance variable $x = (x_1,\cdots,x_N)$ having known distribution, the translation parameter estimation problem is to estimate an unknown constant $h$, having observed $y = (x_1 + h,\cdots,x_N + h)$. Extending the work of Pitman [2], Girshick and Savage [1] have, for any loss function depending only on the error of estimate, described an estimate whose risk is a constant $R$ independent of $h$, and have shown that under certain hypotheses their estimate is minimax. We investigate whether the Girshick-Savage estimate is admissible, i.e., whether it is impossible to find an estimate with risk $R(h) \leq R$ for all $h$ and actual inequality for some $h$. We consider only bounded discrete variables $x$, and show that, if all values of $x$ have all integer coordinates and if the loss $f(d)$ from an error $d$ is, for instance, strictly convex and assumes its minimum value, the Girshick-Savage estimate is admissible. Two examples in which the Girshick-Savage estimate is not admissible are given.
Publié le : 1951-09-14
Classification: 
@article{1177729585,
     author = {Blackwell, David},
     title = {On the Translation Parameter Problem for Discrete Variables},
     journal = {Ann. Math. Statist.},
     volume = {22},
     number = {4},
     year = {1951},
     pages = { 393-399},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177729585}
}
Blackwell, David. On the Translation Parameter Problem for Discrete Variables. Ann. Math. Statist., Tome 22 (1951) no. 4, pp.  393-399. http://gdmltest.u-ga.fr/item/1177729585/