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Interval shrinkage estimators

Author

Listed:
  • Vasyl Golosnoy
  • Roman Liesenfeld

Abstract

This paper considers estimation of an unknown distribution parameter in situations where we believe that the parameter belongs to a finite interval. We propose for such situations an interval shrinkage approach which combines in a coherent way an unbiased conventional estimator and non-sample information about the range of plausible parameter values. The approach is based on an infeasible interval shrinkage estimator which uniformly dominates the underlying conventional estimator with respect to the mean square error criterion. This infeasible estimator allows us to obtain useful feasible counterparts. The properties of these feasible interval shrinkage estimators are illustrated both in a simulation study and in empirical examples.

Suggested Citation

  • Vasyl Golosnoy & Roman Liesenfeld, 2011. "Interval shrinkage estimators," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(3), pages 465-477, October.
    • Handle: RePEc:taf:japsta:v:38:y:2011:i:3:p:465-477
    DOI: 10.1080/02664760903456434
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