Estimation of a Non-Centrality Parameter Under Stein Type Like Losses.

The estimation of the noncentrality parameter of a chi-squared distribution, although simple to state, leads to difficulties, both for frequentist and Bayesian inferences. We propose in this paper a family of admissible improper Bayes estimators and study the minimax behavior of these estimators under Stein loss and its symmetric version.

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Year of publication:	1996
Authors:	Fourdrinier, D. ; Philippe, A. ; Robert, C.P.
Subject:	ECONOMETRICS \| EVALUATION

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Type of publication:	Book / Working Paper
Notes:	21 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C20 - Econometric Methods: Single Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005780779