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A note on universal admissibility of scale parameter estimators

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  • Kushary, Debashis

Abstract

The notion of universal admissibility of estimators was introduced and developed by Hwang (1985) and Brown and Hwang (1989). In several models commonly used estimators of scale parameters are shown to be inadmissible under specified loss functions. Here we focus on the scale and location-scale invariant estimation of the scale parameter under the universal admissibility criterion. For a one parameter gamma distribution, we characterize the class of universal admissible estimators. For the two parameter normal and exponential models we derive the condition for universal inadmissibility of the estimators of the scale parameter.

Suggested Citation

  • Kushary, Debashis, 1998. "A note on universal admissibility of scale parameter estimators," Statistics & Probability Letters, Elsevier, vol. 38(1), pages 59-67, May.
    • Handle: RePEc:eee:stapro:v:38:y:1998:i:1:p:59-67
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    References listed on IDEAS

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    1. Cohen Arthur & Kushary Debashis, 1998. "Universal Admissibility Of Maximum Likelihood Estimators In Constrained Spaces," Statistics & Risk Modeling, De Gruyter, vol. 16(2), pages 131-146, February.
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    Cited by:

    1. Garren Steven T., 2003. "Improved estimation of medians subject to order restrictions in unimodal symmetric families," Statistics & Risk Modeling, De Gruyter, vol. 21(4), pages 367-380, April.

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