The Pitman comparison of unbiased linear estimators

Robert L. Fountain and Jerome P. Keating

Statistics & Probability Letters, 1994, vol. 19, issue 2, 131-136

Abstract: The canonical form for the comparison of certain linear estimators using Pitman's Measure of Closeness is generalized to the class of all linear estimators. Under the assumption of normality, the equivalence of Pitman-closest linear unbiased estimators and best linear unbiased estimators is shown. A sufficient condition is given for which the BLUE will be Pitman-closer than the best linear equivalent estimator (BLEE).

Keywords: Pitman's; measure; of; closeness; order; statistics; best; linear; unbiased; estimators; best; linear; equivariant; estimators (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (4)

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