A New Technique of Invariant Statistical Embedding and Averaging in Terms of Pivots for Improvement of Statistical Decisions Under Parametric Uncertainty

Abstract

In this chapter, a new technique of invariant embedding of sample statistics in a decision criterion (performance index) and averaging this criterion via pivotal quantities (pivots) is proposed for intelligent constructing efficient (optimal, uniformly non-dominated, unbiased, improved) statistical decisions under parametric uncertainty. This technique represents a simple and computationally attractive statistical method based on the constructive use of the invariance principle in mathematical statistics. Unlike the Bayesian approach, the technique of invariant statistical embedding and averaging in terms of pivotal quantities (ISE&APQ) is independent of the choice of priors and represents a novelty in the theory of statistical decisions. It allows one to eliminate unknown parameters from the problem and to find the efficient statistical decision rules, which often have smaller risks than any of the well-known decision rules. The aim of this chapter is to show how the technique of ISE&APQ may be employed in the particular case of optimization, estimation, or improvement of statistical decisions under parametric uncertainty. To illustrate the proposed technique of ISE&APQ, application examples are given.