Canadian Journal of Statistics

On continuous distribution functions, minimax and best invariant estimators, and integrated balanced loss functions

Journal Article

Abstract

We consider the problem of estimating a continuous distribution function F, as well as meaningful functions τ ( F ) under a large class of loss functions. We obtain best invariant estimators and establish their minimaxity for Hölder continuous τ ’s and strict bowl‐shaped losses with a bounded derivative. We also introduce and motivate the use of integrated balanced loss functions which combine the criteria of an integrated distance between a decision d and τ ( F ) , with the proximity of d from a target estimator d 0 . Moreover, we show how the risk analysis of procedures under such an integrated balanced loss relates to a dual risk analysis under an “unbalanced” loss, and we derive best invariant estimators, minimax estimators, risk comparisons, dominance and inadmissibility results. Finally, we expand on various illustrations and applications relative to maxima‐nomination sampling, median‐nomination sampling, and a case study related to bilirubin levels in the blood of babies suffering from jaundice. The Canadian Journal of Statistics 42: 470–486; 2014 © 2014 Statistical Society of Canada

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