The Annals of Statistics

A General Theorem on Decision Theory for Nonnegative Functionals: with Applications

Anirban DasGupta

Full-text: Open access

Abstract

A distribution-free inadmissibility theorem is proved for estimating under quadratic loss nonnegative functionals that are allowed to depend on the unknown c.d.f. as well as the data. It follows from the theorem that, subject to finiteness of the risk, some natural estimators of the eigenvalues of many commonly occurring matrices in multivariate problems are inadmissible, typically from dimension 2, when samples are drawn from any multivariate elliptically symmetric distribution. As an example, if $X_1, \ldots, X_{k + 1}$ are i.i.d. observations from such a distribution with dispersion matrix $\Sigma,$ then the eigenvalues of $S/k$ are inadmissible for the eigenvalues of $\Sigma$ if a certain conditions holds where $S$ if the sample sum of squares and products matrix. It also follows from the theorem that in the general scale-parameter family, the best equivariant estimator of the scale-parameters is inadmissible for $p \geq 2,$ and some natural estimators of the losses of the best equivariant estimators are inadmissible, usually for $p \geq 2.$ The theorem also has certain applications to the Ferguson family of distributions, the multivariate $F$ distribution and for unbiased estimators in some families of distributions.

Article information

Source
Ann. Statist., Volume 17, Number 3 (1989), 1360-1374.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176347275

Digital Object Identifier
doi:10.1214/aos/1176347275

Mathematical Reviews number (MathSciNet)
MR1015157

Zentralblatt MATH identifier
0681.62014

JSTOR
links.jstor.org

Subjects
Primary: 62C15: Admissibility
Secondary: 62F10: Point estimation 62H12: Estimation

Keywords
Inadmissibility eigenvalues scale-parameters Wishart elliptically symmetric equivariant Bayes

Citation

DasGupta, Anirban. A General Theorem on Decision Theory for Nonnegative Functionals: with Applications. Ann. Statist. 17 (1989), no. 3, 1360--1374. doi:10.1214/aos/1176347275. https://projecteuclid.org/euclid.aos/1176347275


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