A note on universal admissibility of scale parameter estimators

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Abstract

The notion of universal admissibility of estimators was introduced and developed by Hwang (1985) and Brown and Hwang (1989). In several models commonly used estimators of scale parameters are shown to be inadmissible under specified loss functions. Here we focus on the scale and location-scale invariant estimation of the scale parameter under the universal admissibility criterion. For a one parameter gamma distribution, we characterize the class of universal admissible estimators. For the two parameter normal and exponential models we derive the condition for universal inadmissibility of the estimators of the scale parameter.

Original languageEnglish (US)
Pages (from-to)59-67
Number of pages9
JournalStatistics and Probability Letters
Volume38
Issue number1
DOIs
StatePublished - May 15 1998

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Exponential distribution
  • Gamma distribution
  • Normal distribution
  • Universal admissibility

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