Improving on the mle of a bounded location parameter for spherical distributions

Éric Marchand and François Perron

Journal of Multivariate Analysis, 2005, vol. 92, issue 2, 227-238

Abstract: For the problem of estimating under squared error loss the location parameter of a p-variate spherically symmetric distribution where the location parameter lies in a ball of radius m, a general sufficient condition for an estimator to dominate the maximum likelihood estimator is obtained. Dominance results are then made explicit for the case of a multivariate student distribution with d degrees of freedom and, in particular, we show that the Bayes estimator with respect to a uniform prior on the boundary of the parameter space dominates the maximum likelihood estimator whenever and d[greater-or-equal, slanted]p. The sufficient condition matches the one obtained by Marchand and Perron (Ann. Statist. 29 (2001) 1078) in the normal case with identity covariance matrix. Furthermore, we derive an explicit class of estimators which, for , dominate the maximum likelihood estimator simultaneously for the normal distribution with identity covariance matrix and for all multivariate student distributions with d degrees of freedom, d[greater-or-equal, slanted]p. Finally, we obtain estimators which dominate the maximum likelihood estimator simultaneously for all distributions in the subclass of scale mixtures of normals for which the scaling random variable is bounded below by some positive constant with probability one.

Keywords: Maximum; likelihood; estimator; Restricted; parameter; space; Squared; error; loss; Dominance; Simultaneous; dominance; Robustness; Spherically; symmetric; distribution; Scale; mixture; of; normals; Multivariate; student; distribution (search for similar items in EconPapers)
Date: 2005
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