On an admissibility problem involving the moment generating function of the lognormal distribution

Leila Mohammadi ()

Metrika: International Journal for Theoretical and Applied Statistics, 2003, vol. 57, issue 1, 63-70

Abstract: A new location invariant loss function is considered and the best invariant estimator of normal mean is obtained. This estimator is a function of the moment generating function of the lognormal distribution. The admissibility is studied of a class of linear estimators of the form cX + d, where X ∼ N(θ, σ 2 ), with θ unknown and σ 2 known. This yields the admissibility of the best invariant estimator of θ. Copyright Springer-Verlag 2003

Keywords: Bayes estimator; Bernstein distance; Best invariant estimator; LINEX loss function; Lognormal distribution; Moment generating function (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:spr:metrik:v:57:y:2003:i:1:p:63-70

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DOI: 10.1007/s001840200199

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