A Simple Formula for Mixing Estimators With Different Convergence Rates
混合不同收敛速度估计量的简明公式
Suppose that two estimators, θ^S,n and θ^N,n, are available for estimating an unknown parameter θ, and are known to have convergence rates n1/2 and rn = o(n1/2), respectively, based on a sample of size n. Typically, the more efficient estimator θ^S,n is less robust than θ^N,n, and a definitive choice cannot be easily made between them under practical circumstances. We propose a simple mixture estimator, in the form of a linear combination of θ^S,n and θ^N,n, which…