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Construction of improved estimators in multiparameter estimation for continuous exponential families

Author

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  • Ghosh, Malay
  • Hwang, Jiunn Tzon
  • Tsui, Kam-Wah

Abstract

A unified theory of simultaneous estimation of parameters for the continuous exponential family is presented. Estimators are constructed that improve on the standard ones (the maximum likelihood, UMVUE or best invariant estimator). These improved estimators shift the standard ones towards possibly non-zero points or data based points.

Suggested Citation

  • Ghosh, Malay & Hwang, Jiunn Tzon & Tsui, Kam-Wah, 1984. "Construction of improved estimators in multiparameter estimation for continuous exponential families," Journal of Multivariate Analysis, Elsevier, vol. 14(2), pages 212-220, April.
    • Handle: RePEc:eee:jmvana:v:14:y:1984:i:2:p:212-220
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    Cited by:

    1. Fourdrinier, Dominique & Robert, Christian P., 1995. "Intrinsic losses for empirical Bayes estimation: A note on normal and Poisson cases," Statistics & Probability Letters, Elsevier, vol. 23(1), pages 35-44, April.

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