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Optimal equivariant estimator with respect to convex loss function

✍ Scribed by S.Kalpana Bai; T.M. Durairajan

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 470 KB
Volume: 64
Category: Article
ISSN: 0378-3758
DOI: 10.1016/s0378-3758(97)00036-0

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✦ Synopsis

Consider a family of probability distributions which is invariant under a group of transformations. In this paper, we define an optimality criterion with respect to an arbitrary convex loss function and we prove a characterization theorem for an equivariant estimator to be optimal. We illustrate this theorem under some conditions on convex loss function.

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