Interval Shrinkage Estimators

21 Pages Posted: 22 Sep 2010

See all articles by Vasyl Golosnoy

Vasyl Golosnoy

Ruhr University of Bochum

Roman Liesenfeld

University of Cologne, Department of Economics

Date Written: September 20, 2010

Abstract

This paper considers estimation of an unknown distribution parameter in situations where we believe that the parameter belongs to a finite interval. We propose for such situations an interval shrinkage approach which combines in a coherent way an unbiased conventional estimator and non-sample information about the range of plausible parameter values. The approach is based upon an infeasible interval shrinkage estimator which uniformly dominates the underlying conventional estimator with respect to the mean square error criterion. This infeasible estimator allows us to obtain useful feasible counterparts. The properties of these feasible interval shrinkage estimators are illustrated both in a simulation study and in empirical examples.

Keywords: estimation risk, feasible estimators, interval information, mean square error, shrinkage estimator

Suggested Citation

Golosnoy, Vasyl and Liesenfeld, Roman, Interval Shrinkage Estimators (September 20, 2010). Available at SSRN: https://ssrn.com/abstract=1680274 or http://dx.doi.org/10.2139/ssrn.1680274

Vasyl Golosnoy (Contact Author)

Ruhr University of Bochum ( email )

Universitätsstraße 150
Bochum, NRW 44780
Germany

Roman Liesenfeld

University of Cologne, Department of Economics ( email )

Albertus-Magnus-Platz
D-50931 Köln
Germany

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