AISM 52, 712-721

LINEX unbiasedness in a prediction problem

Yushan Xiao

Graduate School of Science and Technology, Kumamoto University, Kumamoto 860-8555, Japan

(Received November 12, 1998; revised July 16, 1999)

Abstract.    A statistical prediction problem under LINEX loss function is considered. Some results about LINEX-unbiased predictor are derived and the best LINEX-unbiased predictor is given. We also show that the best risk-unbiased predictor is equal to the best equivariant predictor in the location family.

Key words and phrases:    Prediction problem, risk unbiasedness, LINEX loss function, adequate statistic, Rao-Blackwell theorem, location family, equivariant predictor.

Source ( TeX , DVI )