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A Unified Approach to Non-minimaxity of Sets of Linear Combinations of Restricted Location Estimators

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  • Tatsuya Kubokawa

    (Faculty of Economics, University of Tokyo)

  • William E. Strawderman

    (Department of Statistics, Rutgers University)

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    Abstract

    This paper studies minimaxity of estimators of a set of linear combinations of location parameters μi, i = 1, . . . , k under quadratic loss. When each location parameter is known to be positive, previous results about minimaxity or non-minimaxity are extended from the case of estimating a single linear combination, to estimating any number of linear combinations. Necessary and/or sufficient conditions for minimaxity of general estimators are derived. Particular attention is paid to the generalized Bayes estimator with respect to the uniform distribution and to the truncated version of the unbiased estimator (which is the maximum likelihood estimator for symmetric unimodal distributions). A necessary and sufficient condition for minimaxity of the uniform prior generalized Bayes estimator is particularly simple; If one estimates µ = A¹ where A is an ℓ × k known matrix, the estimator is minimax if and only if (AAt)ij ≤ 0 for any i and j, (i ̸= j). This condition is also sufficient (but not necessary) for minimaxity of the MLE.

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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2011/2011cf786.pdf
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    Bibliographic Info

    Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-786.

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    Length: 26pages
    Date of creation: Jan 2011
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    Handle: RePEc:tky:fseres:2011cf786

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    1. Hartigan, J. A., 2004. "Uniform priors on convex sets improve risk," Statistics & Probability Letters, Elsevier, vol. 67(4), pages 285-288, May.
    2. Yuzo Maruyama & Katsunori Iwasaki, 2005. "Sensitivity of minimaxity and admissibility in the estimation of a positive normal mean," Annals of the Institute of Statistical Mathematics, Springer, vol. 57(1), pages 145-156, March.
    3. Tatsuya Kubokawa, 2004. "Minimaxity in Estimation of Restricted Parameters," CIRJE F-Series CIRJE-F-270, CIRJE, Faculty of Economics, University of Tokyo.
    4. Tsukuma, Hisayuki & Kubokawa, Tatsuya, 2008. "Stein's phenomenon in estimation of means restricted to a polyhedral convex cone," Journal of Multivariate Analysis, Elsevier, vol. 99(1), pages 141-164, January.
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