We show that, for discrete exponential families, the sample mean of n observations does not stochastically dominate a single observation when estimating the population mean. This is in stark contrast to the case of a normal distribution.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Discrete exponential families
- Pitman closeness
- Stochastic domination
- Universal domination