Displaying similar documents to “Monotonicity of Bayes estimators”

A weighted version of Gamma distribution

Kanchan Jain, Neetu Singla, Rameshwar D. Gupta (2014)

Discussiones Mathematicae Probability and Statistics

Similarity:

Weighted Gamma (WG), a weighted version of Gamma distribution, is introduced. The hazard function is increasing or upside-down bathtub depending upon the values of the parameters. This distribution can be obtained as a hidden upper truncation model. The expressions for the moment generating function and the moments are given. The non-linear equations for finding maximum likelihood estimators (MLEs) of parameters are provided and MLEs have been computed through simulations and also for...

A note on stochastic ordering of estimators of exponential reliability

Piotr Nowak (2011)

Applicationes Mathematicae

Similarity:

Recently Balakrishnan and Iliopoulos [Ann. Inst. Statist. Math. 61 (2009)] gave sufficient conditions under which the maximum likelihood estimator (MLE) is stochastically increasing. In this paper we study test plans which are not considered there and we prove that the MLEs for those plans are also stochastically ordered. We also give some applications to the estimation of reliability.

Bayesian estimation of AR(1) models with uniform innovations

Hocine Fellag, Karima Nouali (2005)

Discussiones Mathematicae Probability and Statistics

Similarity:

The first-order autoregressive model with uniform innovations is considered. In this paper, we propose a family of BAYES estimators based on a class of prior distributions. We obtain estimators of the parameter which perform better than the maximum likelihood estimator.

On non-existence of moment estimators of the GED power parameter

Bartosz Stawiarski (2016)

Discussiones Mathematicae Probability and Statistics

Similarity:

We reconsider the problem of the power (also called shape) parameter estimation within symmetric, zero-mean, unit-variance one-parameter Generalized Error Distribution family. Focusing on moment estimators for the parameter in question, through extensive Monte Carlo simulations we analyze the probability of non-existence of moment estimators for small and moderate samples, depending on the shape parameter value and the sample size. We consider a nonparametric bootstrap approach and prove...

Robust Bayesian estimation with asymmetric loss function

Agata Boratyńska (2002)

Applicationes Mathematicae

Similarity:

The problem of robust Bayesian estimation in some models with an asymmetric loss function (LINEX) is considered. Some uncertainty about the prior is assumed by introducing two classes of priors. The most robust and conditional Γ-minimax estimators are constructed. The situations when those estimators coincide are presented.

Estimating quantiles with Linex loss function. Applications to VaR estimation

Ryszard Zieliński (2005)

Applicationes Mathematicae

Similarity:

Sometimes, e.g. in the context of estimating VaR (Value at Risk), underestimating a quantile is less desirable than overestimating it, which suggests measuring the error of estimation by an asymmetric loss function. As a loss function when estimating a parameter θ by an estimator T we take the well known Linex function exp{α(T-θ)} - α(T-θ) - 1. To estimate the quantile of order q ∈ (0,1) of a normal distribution N(μ,σ), we construct an optimal estimator in the class of all estimators...

Analysis on the individual efficiency prediction in the composed error frontier model. A Monte Carlo study.

Rafaela Dios Palomares, Antonio Ramos Millán, José Angel Roldán-Casas (2002)

Qüestiió

Similarity:

This study seeks to analyse some important questions related to the Stochastic Frontier Model, such as the method proposed by Jondrow et al (1982) to separate the error term into its two components, and the measure of efficiency given by Timmer (1971). To this purpose, a Monte Carlo experiment has been carried out using the Half-Normal and Normal-Exponential specifications throughout the rank of the γ parameter. The estimation errors have been eliminated, so that the intrinsic variability...

Stochastic comparisons of moment estimators of gamma distribution parameters

Piotr Nowak (2012)

Applicationes Mathematicae

Similarity:

Recently the order preserving property of estimators has been intensively studied, e.g. by Gan and Balakrishnan and collaborators. In this paper we prove the stochastic monotonicity of moment estimators of gamma distribution parameters using the standard coupling method and majorization theory. We also give some properties of the moment estimator of the shape parameter and derive an approximate confidence interval for this parameter.

Challenging the empirical mean and empirical variance: A deviation study

Olivier Catoni (2012)

Annales de l'I.H.P. Probabilités et statistiques

Similarity:

We present new M-estimators of the mean and variance of real valued random variables, based on PAC-Bayes bounds. We analyze the non-asymptotic minimax properties of the deviations of those estimators for sample distributions having either a bounded variance or a bounded variance and a bounded kurtosis. Under those weak hypotheses, allowing for heavy-tailed distributions, we show that the worst case deviations of the empirical mean are suboptimal. We prove indeed that for any confidence...