On estimation of a location parameter in the presence of an ancillary component

Kagana, A. M. ; Rao, C. R. (2006) On estimation of a location parameter in the presence of an ancillary component Theory of Probability and Its Applications, 50 (1). pp. 129-133. ISSN 0040-585X

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Official URL: http://epubs.siam.org/action/showAbstract?page=129...

Related URL: http://dx.doi.org/10.1137/S0040585X9798155X

Abstract

If (X, Y) is an observation with distribution function F(x-θ,y),σ2=var(X), corr=rm corr(X,Y) and I is the Fisher information on θ in (X,Y), then I≥{σ2(1-p2}-1. The equality sign holds under conditions closely related to the conditions for linearity of the Pitman estimator of θ from a sample from F(x-θ,y). The results are extensions of earlier results for the case when only the informative component X is observed.

Item Type:Article
Source:Copyright of this article belongs to Society for Industrial and Applied Mathematics.
Keywords:Fisher Information; Pitman Estimator
ID Code:96518
Deposited On:24 Dec 2012 08:51
Last Modified:24 Dec 2012 08:51

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