Second-order minimax estimation of the mean value for exponential dispersion models

Zinoviy Landsman

doi:10.1016/S0378-3758(00)00315-3

Second-order minimax estimation of the mean value for exponential dispersion models

Zinoviy Landsman

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

The problem of the second-order minimax improvement in the estimation of the mean value of the exponential dispersion family (EDF) is investigated. Necessary and sufficient conditions for the possibility of such an improvement, for a nonrestricted space of mean values, were obtained. The results are applied to the Tweedie submodel of the EDF.

Original language	English
Pages (from-to)	57-71
Number of pages	15
Journal	Journal of Statistical Planning and Inference
Volume	98
Issue number	1-2
DOIs	https://doi.org/10.1016/S0378-3758(00)00315-3
State	Published - 1 Oct 2001

Keywords

62C20
62F10
62F12
Dirichlet problem
Generalized Bayes estimator
Second-order minimaxity
Strong type pair
Sturme-Liouville differential operator

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1016/S0378-3758(00)00315-3

Cite this

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abstract = "The problem of the second-order minimax improvement in the estimation of the mean value of the exponential dispersion family (EDF) is investigated. Necessary and sufficient conditions for the possibility of such an improvement, for a nonrestricted space of mean values, were obtained. The results are applied to the Tweedie submodel of the EDF.",

keywords = "62C20, 62F10, 62F12, Dirichlet problem, Generalized Bayes estimator, Second-order minimaxity, Strong type pair, Sturme-Liouville differential operator",

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AB - The problem of the second-order minimax improvement in the estimation of the mean value of the exponential dispersion family (EDF) is investigated. Necessary and sufficient conditions for the possibility of such an improvement, for a nonrestricted space of mean values, were obtained. The results are applied to the Tweedie submodel of the EDF.

KW - 62C20

KW - 62F10

KW - 62F12

KW - Dirichlet problem

KW - Generalized Bayes estimator

KW - Second-order minimaxity

KW - Strong type pair

KW - Sturme-Liouville differential operator

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JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

IS - 1-2

ER -

Second-order minimax estimation of the mean value for exponential dispersion models

Abstract

Keywords

ASJC Scopus subject areas

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