The Kullback-Leibler risk of the Stein estimator and the conditional MLE
β Scribed by Takemi Yanagimoto
- Book ID
- 104934035
- Publisher
- Springer Japan
- Year
- 1994
- Tongue
- English
- Weight
- 695 KB
- Volume
- 46
- Category
- Article
- ISSN
- 0020-3157
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
In this paper, we present a deviation inequality for a common estimator of the conditional value-at-risk for bounded random variables. The result improves a deviation inequality which is obtained by Brown [D.B. Brown, Large deviations bounds for estimating conditional value-at-risk, Operations Resea
It is well known that the uniformly minimum variance unbiased (UMVU) estimators of the risk and the mean squared error (MSE) matrix proposed in the literature for Stein estimators can take negative values with positive probability. In this paper, improved truncated estimators of the risk, risk diffe