Estimation of noncentrality parameters

We propose some estimators of noncentrality parameters which improve upon usual unbiased estimators under quadratic loss. The distributions we consider are the noncentral chi-square and the noncentral F. However, we give more general results for the family of elliptically contoured distributions and...

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Bibliographic Details
Published in:Canadian journal of statistics 1993-03, Vol.21 (1), p.45-57
Main Authors: Kubokawa, T., Robert, C.P., Saleh, A.K.Md.E.
Format: Article
Language:English
Subjects:
Bayes estimators
chi-square identity
elliptically contoured distribution
Estimators
Linear models
noncentral chi-square distribution
noncentral F-distribution
noncentral parameter
Point estimation
Random variables
Stein identity
Unbiased estimators
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Summary:We propose some estimators of noncentrality parameters which improve upon usual unbiased estimators under quadratic loss. The distributions we consider are the noncentral chi-square and the noncentral F. However, we give more general results for the family of elliptically contoured distributions and propose a robust dominating estimator. /// Dans cet article, nous proposons quelques estimateurs de paramètres d'excentricité qui surpassent les estimateurs habituels non biaisés, sous perte quadratique. Nous considérons les distributions de chi carré et de F non centrales. Toutefois, nous présentons des résultats plus généraux pour la famille des distributions à symétrie elliptique et proposons un estimateur dominant robuste.
ISSN:0319-5724
1708-945X
DOI:10.2307/3315657