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Universal Weighted MSE Improvement of the Least-Squares Estimator

✍ Scribed by Eldar, Y.C.


Book ID
119822913
Publisher
IEEE
Year
2008
Tongue
English
Weight
763 KB
Volume
56
Category
Article
ISSN
1053-587X

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Universal Inadmissibility of Least Squar
✍ Chang-Yu Lu; Ning-Zhong Shi πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 140 KB

For a p-dimensional normal distribution with mean vector % and covariance matrix I p , it is known that the maximum likelihood estimator % of % with p 3 is inadmissible under the squared loss. The present paper considers possible extensions of the result to the case where the loss is a member of a g