The usually irregular follow-up intervals in epidemiologic studies preclude the use of classical growth curve analysis. For short follow-up intervals, it is suggested that individual rates of change are useful for exploratory analysis. Empirical Bayes estimates of these rates of change are recommended and developed. An example of bone loss with age in women is also given.
James O. Berger · L. Mark Berliner · Asad Zaman·刊期 1982-09-01 · 卷 10(3)·The Annals of Statistics已编入正刊
控制问题中估计量可容许性与不可容许性的一般结果AI 解读
Let $\mathbf{X} = (X_1, \cdots, X_p)^t$ be an observation from a $p$-variate normal distribution with unknown mean $\mathbf{\theta} = (\theta_1, \cdots, \theta_p)^t$ and identity covariance matrix. We consider a control problem which, in canonical form, is the problem of estimating $\mathbf{\theta}$ under the loss $L(\mathbf{\theta, \delta}) = (\mathbf{\theta}^t \mathbf{\delta} - 1)^2$, where $\mathbf{\delta(x)} = (\delta_1(\mathbf{x}), \cdots, \delta_p(\mathbf{x}))^t$ is…
The problem of estimating a $p$-variate normal mean under arbitrary quadratic loss when $p \geq 3$ is considered. Any estimator having uniformly smaller risk than the maximum likelihood estimator $\delta^0$ will have significantly smaller risk only in a fairly small region of the parameter space. A relatively simple minimax estimator is developed which allows the user to select the region in which significant improvement over $\delta^0$ is to be achieved. Since the desired…
Several problems involving multivariate generalized Bayes estimators are investigated. First, a characterization of admissible estimators as generalized Bayes estimators is developed for certain multivariate exponential families and quadratic loss. The problem of verifying whether or not an estimator is generalized Bayes is also considered. Next, an important class of estimators for a multivariate normal mean is considered. (The class includes many minimax, empirical Bayes,…
Let $X = (X_1, X_2, X_3)$ be a random vector with density $f(x - \theta)$, where $\theta = (\theta_1, \theta_2, \theta_3)$ is unknown. It is desired to estimate $(\theta_1, \theta_2)$ using an estimator $(\delta_1(X), \delta_2(X))$, and under a loss function $L(\delta_1 - \theta_1, \delta_2 - \theta_2)$. (Note that $\theta_3$ is a nuisance parameter.) Under certain conditions on $f$ and $L$, it is shown that the best invariant estimator of $(\theta_1, \theta_2)$ is…
Let $X = (X_1, \cdots, X_p)^t$ be a $p$-variate normal random vector with unknown mean $\theta = (\theta_1, \cdots, \theta_p)^t$ and unknown positive definite diagonal covariance matrix $A$. Assume that estimates $V_i$ of the variances $A_i$ are available, and that $V_i/A_i$ is $\chi^2_{n_i}$. Assume also that all $X_i$ and $V_i$ are independent. It is desired to estimate $\theta$ under the quadratic loss $\lbrack\sum^p_{i=1} q_i(\delta_i - \theta_i)^2\rbrack/\lbrack\sum^p_{i=1} q_i A_i\rbrack,\quad\text{where} q_i > 0, i = 1, \cdots, p.$…
Let $X$ be an $n$-dimensional random vector with density $f(x - \theta)$. It is desired to estimate $\theta_1$, under a strictly convex loss $L(\delta - \theta_1)$. If $F$ is a generalized Bayes prior density, the admissibility of the corresponding generalized Bayes estimator, $\delta_F$, is considered. An asymptotic approximation to $\delta_F$ is found. Using this approximation, it is shown that if (i) $f$ has enough moments, (ii) $L$ and $F$ are smooth enough, and (iii) $F(\theta) \leqq K(|\theta_1| + \sum^n_{i=2} \theta_i^2)^{(3-n)/2}$…
Let $X = (X_1, \cdots, X_n)$ be an $n$-dimensional random vector with density $f(x - \theta)$. Assume the loss incurred in estimating $\theta$ by $d$ is $L(d - \theta)$ and is convex. Let $F$ be a generalized prior density. The question of inadmissibility of generalized Bayes estimators of $\theta$ is considered. As in Brown (1974c), the crucial role played by the "moment structure" in determining inadmissibility results is indicated (moments defined as the quantities $m_{i,j(1), \cdots, j(l)} = \int \prod^l_{k=1} x_{j(k)} \cdot \lbrack(\partial/\partial x_i)L(x)\rbrack f(x) dx)$…
Summary In estimating a multivariate location vector in three or more dimensions, it is well known that Stein-type estimators can offer considerable improvement in risk over the best invariant estimator. A common problem arising in the use of such estimators is that simple versions often have a singularity at zero. Methods of eliminating such singularities are discussed in this paper. The resulting estimators are usually considerably better than the uncorrected versions, and…
The problem of estimating the mean of a $p$-variate $(p \geqq 3)$ normal distribution is considered. It is assumed that the covariance matrix $\not\sum$ is known and that the loss function is quadratic. A class of minimax estimators is given, out of which admissible minimax estimators are developed.
Let $X = (X_1,\cdots, X_p)^t, p \geqq 3$, have density $f(x - \theta)$ with respect to Lebesgue measure. It is desired to estimate $\theta = (\theta_1,\cdots, \theta_p)^t$ under the loss $L(\delta - \theta)$. Assuming the problem has a minimax risk $R_0$, an estimator is defined to be tail minimax if its risk is no larger than $R_0$ outside some compact set. Under quite general conditions on $f$ and $L$, sufficient conditions for an estimator to be tail minimax are given. A…
Let X=(X1,⋯,Xp)t be an observation from a p-variate normal distribution with unknown mean θ=(θ1,⋯,θp)t and identity covariance matrix. We consider a control problem which, in canonical form, is the problem of estimating θ under the loss L(θ,δ)=(θtδ−1)2, where δ(x)=(δ1(x),⋯,δp(x))t is…
The problem of estimating a p-variate normal mean under arbitrary quadratic loss when p≥3 is considered. Any estimator having uniformly smaller risk than the maximum likelihood estimator δ0 will have significantly smaller risk only in a fairly small region of the parameter space. A relatively simple minimax estimator is developed which allows the user to select the region in which significant improvement over δ0 is to be achieved. Since the desired…
Let X=(X1,X2,X3) be a random vector with density f(x−θ), where θ=(θ1,θ2,θ3) is unknown. It is desired to estimate (θ1,θ2) using an estimator (δ1(X),δ2(X)), and under a loss function L(δ1−θ1,δ2−θ2). (Note that θ3 is a nuisance parameter.) Under certain conditions on f and L, it is shown that the best invariant estimator of (θ1,θ2) is…
Let X=(X1,⋯,Xp)t be a p-variate normal random vector with unknown mean θ=(θ1,⋯,θp)t and unknown positive definite diagonal covariance matrix A. Assume that estimates Vi of the variances Ai are available, and that Vi/Ai is χni2. Assume also that all Xi and Vi are independent. It is desired to estimate θ under the quadratic loss [∑i=1pqi(δi−θi)2]/[∑i=1pqiAi],whereqi>0,i=1,⋯,p.…
Let X be an n-dimensional random vector with density f(x−θ). It is desired to estimate θ1, under a strictly convex loss L(δ−θ1). If F is a generalized Bayes prior density, the admissibility of the corresponding generalized Bayes estimator, δF, is considered. An asymptotic approximation to δF is found. Using this approximation, it is shown that if (i) f has enough moments, (ii) L and F are smooth enough, and (iii) F(θ)≦K(∣θ1∣+∑i=2nθi2)(3−n)/2…
Let X=(X1,⋯,Xn) be an n-dimensional random vector with density f(x−θ). Assume the loss incurred in estimating θ by d is L(d−θ) and is convex. Let F be a generalized prior density. The question of inadmissibility of generalized Bayes estimators of θ is considered. As in Brown (1974c), the crucial role played by the "moment structure" in determining inadmissibility results is indicated (moments defined as the quantities mi,j(1),⋯,j(l)=∫∏k=1lxj(k)⋅[(∂/∂xi)L(x)]f(x)dx)…
The problem of estimating the mean of a p-variate (p≧3) normal distribution is considered. It is assumed that the covariance matrix ∑ is known and that the loss function is quadratic. A class of minimax estimators is given, out of which admissible minimax estimators are developed.
Let X=(X1,⋯,Xp)t,p≧3, have density f(x−θ) with respect to Lebesgue measure. It is desired to estimate θ=(θ1,⋯,θp)t under the loss L(δ−θ). Assuming the problem has a minimax risk R0, an estimator is defined to be tail minimax if its risk is no larger than R0 outside some compact set. Under quite general conditions on f and L, sufficient conditions for an estimator to be tail minimax are given. A…