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Linex Unbiasedness in a Prediction Problem

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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.

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Authors and Affiliations

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

    Yushan Xiao

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  1. Yushan Xiao
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Xiao, Y. Linex Unbiasedness in a Prediction Problem. Annals of the Institute of Statistical Mathematics 52, 712–721 (2000). https://doi.org/10.1023/A:1017577310595

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  • DOI: https://doi.org/10.1023/A:1017577310595

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