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Stein's Paradox is Impossible in the Nonanticipative Context

 

作者: Sam Gutmann,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1982)
卷期: Volume 77, issue 380  

页码: 934-935

 

ISSN:0162-1459

 

年代: 1982

 

DOI:10.1080/01621459.1982.10477911

 

出版商: Taylor & Francis Group

 

关键词: Nonanticipative estimation;Stein effect;Admissibility

 

数据来源: Taylor

 

摘要:

Suppose several parameters are to be estimated in sequence. Independent data relating to them are available, but data later in the sequence cannot be used to estimate earlier parameters. Then the use of an admissible estimator for each individual parameter is an admissible procedure in the combined problem using summed loss. If the estimator werenotrequired to be nonanticipative, the use might be inadmissible as in Stein's famous inadmissibility result.

 

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