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Statistics
A Journal of Theoretical and Applied Statistics
Volume 47, 2013 - Issue 3
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Original Articles

Comparison of risks of estimators under the LINEX loss for a family of truncated distributions

Pages 590-604
Received 28 Jan 2010
Accepted 30 Jun 2011
Published online: 31 Aug 2011
 
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In most cases, we use a symmetric loss such as the quadratic loss in a usual estimation problem. But, in the non-regular case when the regularity conditions do not necessarily hold, it seems to be more reasonable to choose an asymmetric loss than the symmetric one. In this paper, we consider the Bayes estimation under the linear exponential (LINEX) loss which is regarded as a typical example of asymmetric loss. We also compare the Bayes risks of estimators under the LINEX loss for a family of truncated distributions and a location parameter family of truncated distributions.

Acknowledgements

The author would like to thank Professor Masafumi Akahira of the University of Tsukuba for his valuable comments throughout the preparation of the paper. This research was partly supported by the Grant-in-Aid for Young Scientists (B) 17740047, Japan Society for the Promotion of Science.

 

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