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Invariantly Optimal Curve Estimators with Respect to Integrated Mean Error Risk

In: Probability and Statistical Inference

Author

Listed:
  • Wolfgang Wertz

    (Technische Universität Wien)

Abstract

For invariant problems of curve estimation an explicit solution for constructing an invariantly optimal estimator is given; the underlying loss is the integrated absolute error. Under some conditions, the obtained estimators are shown to be generalized Bayes estimators. Further some examples are given, and these solutions are compared with the corresponding ones for integrated square error as a loss.

Suggested Citation

  • Wolfgang Wertz, 1982. "Invariantly Optimal Curve Estimators with Respect to Integrated Mean Error Risk," Springer Books, in: Wilfried Grossmann & Georg Ch. Pflug & Wolfgang Wertz (ed.), Probability and Statistical Inference, pages 373-384, Springer.
    • Handle: RePEc:spr:sprchp:978-94-009-7840-9_35
    DOI: 10.1007/978-94-009-7840-9_35
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