Journal of the Korean Statistical Society

  • 제34권2호
  • /
  • Pages.99-107
  • /
  • 2005
  • /
  • 1226-3192(pISSN)
  • /
  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

ASYMPTOTIC MEAN SQUARED ERROR OF POSITIVE PART JAMES-STEIN ESTIMATORS

  • KIM MYUNG JOON (Automobile Insurance Product Pricing Department, SAMSUNG Fire & Marine Insurance Co., Ltd.) ;
  • KIM YEONG-HWA (Department of Statistics, Chung-Ang University)
  • 발행 : 2005.06.01
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

In this paper we consider the asymptotic mean squared error of positive part James-Stein estimators. In the normal-normal example, estimators of the mean squared error of these estimators are provided which are correct asymptotically up to O($m^{-l}$). Asymptotic estimators of the MSE's which correct up to O($m^{-l}$) are also provide. Here, m denotes the number of strata. A simulation study is undertaken to evaluate the performance of these estimators.

키워드

참고문헌

  1. DATTA, G.S. AND LAHIRI, P. (2000) . 'A unified measure of uncertainty of estimated best linear unbiased predictors in small-area estimation problems', Statistica Sinica, 10, 613-628
  2. EFRON, B. AND MORRIS, C. (1973). 'Stein's estimation rule and its competitors - an empirical Bayes approach', Journal of the American Statistical Association, 68, 117-130 https://doi.org/10.2307/2284155
  3. JAMES, W. AND STEIN, C. (1961) . 'Estimation with quadratic loss', Procedings of 4th Berkeley Symposium Math, Statistics and Probability, Univ. California Press, Berkeley 1, 361-380
  4. LAHIRI, P. AND RAO, J.N.K. (1995) . 'Robust estimation of mean squared error of small area estimators', Journal of the American Statistical Association, 90, 758-766 https://doi.org/10.2307/2291089
  5. LINDLEY, D.V. (1962) . 'Discussion of Professor Stein's paper', Journal of the Royal Statistical Society, B24, 265-296
  6. MORRIS, C. (1981) . 'Parametric empirical Bayes confidence intervals', In Scientific Inference, Data Analysis, and Robustness, eds. G.E.P. Box, T. Leonard and C.F. Jeff Wu, Academic Press, 25-50
  7. PRASAD, N.G.N. AND RAO, J.N.K. (1990) . 'The estimation of the mean squared error of small-area estimators', Journal of the American Statistical Association, 85, 163-171 https://doi.org/10.2307/2289539