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An application of the Rao-Blackwell theorem in preliminary test estimators

Author

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  • Arnold, J. C.
  • Katti, S. K.

Abstract

Preliminary test estimators are defined for estimating vector parameters. This note illustrates the use of the Rao-Blackwell theorem for uniformly reducing the risk of these estimators when one is based upon the sufficient statistic. The results given are valid for a class of risk functions, including the generalized mean squared error, the trace, and the largest characteristic root.

Suggested Citation

  • Arnold, J. C. & Katti, S. K., 1972. "An application of the Rao-Blackwell theorem in preliminary test estimators," Journal of Multivariate Analysis, Elsevier, vol. 2(2), pages 236-238, June.
    • Handle: RePEc:eee:jmvana:v:2:y:1972:i:2:p:236-238
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    Cited by:

    1. H. D. Vinod, 2022. "Bootstrap Version of Rao–Blackwellization to Two-Step and Instrumental Variable Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(1), pages 49-69, September.

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