On the characterization of Pitman measure of nearness

Carl M.S. Lee

Research output: Contribution to journalArticlepeer-review

Abstract

Two sufficient conditions for characterizing Pitman nearness (PN) are derived. It is found that one of the conditions is a standardized decision criterion. Two examples are given, including comparison of the James-Stein estimator with the usual unbiased estimator. It is also shown that stochastic domination implies PN for comparing any two multivariate normal estimators. Moreover, they are equivalent if two estimators are unbiased.

Original languageEnglish
Pages (from-to)41-46
Number of pages6
JournalStatistics and Probability Letters
Volume9
Issue number1
DOIs
StatePublished - Jan 1990
Externally publishedYes

Keywords

  • James-Stein estimator
  • Pitman nearness
  • generalized squared-error loss
  • stochastic domination

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