Random function prediction and Stein's identity

Theodoros Nicoleris and Anthony Sagris

Statistics & Probability Letters, 2002, vol. 59, issue 3, 293-305

Abstract: Let X=(X1,X2,...,Xn) be a size n sample of i.i.d. random variables, whose distribution belong to the one-parameter ([theta]) continuous exponential family. We examine prediction functions of the form [theta]mh(X),m[greater-or-equal, slanted]1, where h is a polynomial in X. A natural identity that first appeared in Stein (Stein, 1973) and has been widely exploited since, is discussed in relation to members of such a family. Mild regularity conditions are also introduced that imply the nonexistence of a uniformly minimum mean squared error predictor for these functions.

Keywords: Prediction; Random; function; of; a; parameter; Exponential; family (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (1)

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