The Annals of Statistics

Best Invariant Estimation of a Direction Parameter

T. W. Anderson, Charles Stein, and Asad Zaman

Full-text: Open access

Abstract

Let $X$ be an $n \times k$ random matrix whose coordinates are independently normally distributed with common variance $\sigma^2$ and means given by $EX = e\mu' + \theta\lambda',$ where $e$ is the vector in $R^n$ having all coordinates equal to $1, \theta \in R^n,$ and $\mu, \lambda \in R^k$ with $\sum^k_{j = 1} \lambda^2_j = 1.$ The problem is to estimate $\lambda$, say by $\hat{\lambda},$ with loss function $1 - (\lambda'\hat{\lambda})^2$ when $\mu, \theta,$ and $\sigma^2$ are unknown. It is shown that the largest principal component of $X'X - (1/n)X'ee'X$ is the best estimator invariant under rotations in $R^k$ and rotations in $R^n$ leaving $e$ invariant and is admissible.

Article information

Source
Ann. Statist., Volume 13, Number 2 (1985), 526-533.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176349536

Digital Object Identifier
doi:10.1214/aos/1176349536

Mathematical Reviews number (MathSciNet)
MR790554

Zentralblatt MATH identifier
0583.62044

JSTOR
links.jstor.org

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

Keywords
Best invariant estimation direction parameters linear functional relationship factor analysis

Citation

Anderson, T. W.; Stein, Charles; Zaman, Asad. Best Invariant Estimation of a Direction Parameter. Ann. Statist. 13 (1985), no. 2, 526--533. doi:10.1214/aos/1176349536. https://projecteuclid.org/euclid.aos/1176349536


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