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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