CHARACTERISATION OF LINEAR MINI-MAX ESTIMATORS FOR LOSS FUNCTIONS OF ARBITRARY POWER

2001 ◽  
Vol 03 (02n03) ◽  
pp. 203-211
Author(s):  
K. HELMES ◽  
C. SRINIVASAN
Keyword(s):  
Power Function ◽  
Loss Function ◽  
Loss Functions ◽  
Standard Wiener Process ◽  
Quadratic Loss ◽  
Continuous Linear ◽  
Arbitrary Power ◽  
Linear Estimators ◽  
Special Cases ◽  
General Power

Let Y(t), t∈[0,1], be a stochastic process modelled as dYt=θ(t)dt+dW(t), where W(t) denotes a standard Wiener process, and θ(t) is an unknown function assumed to belong to a given set Θ⊂L2[0,1]. We consider the problem of estimating the value ℒ(θ), where ℒ is a continuous linear function defined on Θ, using linear estimators of the form <m,y>=∫m(t)dY(t), m∈L2[0,1]. The distance between the quantity ℒ(θ) and the estimated value is measured by a loss function. In this paper, we consider the loss function to be an arbitrary even power function. We provide a characterisation of the best linear mini-max estimator for a general power function which implies the characterisation for two special cases which have previously been considered in the literature, viz. the case of a quadratic loss function and the case of a quartic loss function.

scholarly journals Bayesian Inference of Burr Type VIII Distribution Based on Censored Samples

2014 ◽  
Vol 2014 ◽  
pp. 1-21
Author(s):  
Navid Feroz
Keyword(s):  
Bayesian Inference ◽  
Loss Function ◽  
Simulation Study ◽  
Bayes Estimation ◽  
Loss Functions ◽  
Quadratic Loss ◽  
Bayes Estimators ◽  
Type Viii ◽  
Censored Samples ◽  
Made In

This paper is concerned with estimation of the parameter of Burr type VIII distribution under a Bayesian framework using censored samples. The Bayes estimators and associated risks have been derived under the assumption of five priors and three loss functions. The comparison among the performance of different estimators has been made in terms of posterior risks. A simulation study has been conducted in order to assess and compare the performance of different estimators. The study proposes the use of inverse Levy prior based on quadratic loss function for Bayes estimation of the said parameter.

scholarly journals Bayesian Analysis of a Shape Parameter of the Weibull-Frechet Distribution

2018 ◽  
pp. 1-19
Author(s):  
Terna Godfrey Ieren ◽  
Angela Unna Chukwu
Keyword(s):  
Loss Function ◽  
Shape Parameter ◽  
Real Life ◽  
Loss Functions ◽  
Quadratic Loss ◽  
Bayes Estimators ◽  
Informative Priors ◽  
Fréchet Distribution ◽  
Minimum Bayes Risk ◽  
Frechet Distribution

In this paper, we estimate a shape parameter of the Weibull-Frechet distribution by considering the Bayesian approach under two non-informative priors using three different loss functions. We derive the corresponding posterior distributions for the shape parameter of the Weibull-Frechet distribution assuming that the other three parameters are known. The Bayes estimators and associated posterior               risks have also been derived using the three different loss functions. The performance of the Bayes estimators are evaluated and compared using a comprehensive simulation study and a real life application to find out the combination of a loss function and a prior having the minimum Bayes risk and hence producing the best results. In conclusion, this study reveals that in order to estimate the parameter in question, we should use quadratic loss function under either of the two non-informative priors used in this study.  

scholarly journals On estimation of Frechet distribution with known shape using Bayesian analysis under informative priors

2017 ◽  
Vol 5 (2) ◽  
pp. 141
Author(s):  
Wajiha Nasir
Keyword(s):  
Bayesian Analysis ◽  
Loss Function ◽  
Simulation Study ◽  
Posterior Distribution ◽  
Loss Functions ◽  
Quadratic Loss ◽  
Bayes Estimators ◽  
Informative Priors ◽  
Fréchet Distribution ◽  
Frechet Distribution

In this study, Frechet distribution has been studied by using Bayesian analysis. Posterior distribution has been derived by using gamma and exponential. Bayes estimators and their posterior risks has been derived using five different loss functions. Elicitation of hyperparameters has been done by using prior predictive distributions. Simulation study is carried out to study the behavior of posterior distribution. Quasi quadratic loss function and exponential prior are found better among all.

scholarly journals Bayesian Analysis of the Weibull Paired Comparison Model Using Numerical Approximation

2020 ◽  
Vol 2020 ◽  
pp. 1-6
Author(s):  
Khalil Ullah ◽  
Muhammad Aslam
Keyword(s):  
Loss Function ◽  
Goodness Of Fit ◽  
Numerical Approximation ◽  
Paired Comparison ◽  
Estimation Procedure ◽  
Loss Functions ◽  
Quadratic Loss ◽  
Chi Square ◽  
Squared Error Loss Function ◽  
Comparison Model

The method of paired comparisons (PC) is widely used to rank items using sensory evaluations. The PC models are developed to provide basis for such comparisons. In this study, the Weibull PC model is analyzed under the Bayesian paradigm using noninformative priors and different loss functions, namely, Squared Error Loss Function (SELF), Quadratic Loss Function (QLF), DeGroot Loss Function (DLF), and Precautionary Loss Function (PLF). Numerical approximation is used to illustrate the entire estimation procedure. A real dataset showing usage preferences for different cellphone brands, Huawei (HW), Samsung (SS), Oppo (OP), QMobile (QM), and Nokia (NK), is used. Quadrature method is used to evaluate the Bayes estimates, their posterior risks, preference probabilities, predictive probabilities, and posterior probabilities to establish and verify ranking order of the competing cellphone brands under study. The results show that the paired comparison model under the study using Bayesian approach involving various loss functions can offer mathematical approach to evaluate cellphone brand preferences. The ranking provided by the model is justifiable according to the usage preference for these cellphone brands. The ranking given by the model indicates that cellphone brand Samsung is preferred the most and QMobile is the least preferred. The plausibility of the model is also assessed using the Chi square test of goodness of fit.

scholarly journals A Supervised Speech Enhancement Approach with Residual Noise Control for Voice Communication

2020 ◽  
Vol 10 (8) ◽  
pp. 2894 ◽  
Author(s):  
Andong Li ◽  
Renhua Peng ◽  
Chengshi Zheng ◽  
Xiaodong Li
Keyword(s):  
Speech Enhancement ◽  
Loss Function ◽  
Noise Control ◽  
Mean Squared Error ◽  
Loss Functions ◽  
Artificial Noise ◽  
Subjective Test ◽  
Voice Communication ◽  
Residual Noise ◽  
Special Cases

For voice communication, it is important to extract the speech from its noisy version without introducing unnaturally artificial noise. By studying the subband mean-squared error (MSE) of the speech for unsupervised speech enhancement approaches and revealing its relationship with the existing loss function for supervised approaches, this paper derives a generalized loss function that takes residual noise control into account with a supervised approach. Our generalized loss function contains the well-known MSE loss function and many other often-used loss functions as special cases. Compared with traditional loss functions, our generalized loss function is more flexible to make a good trade-off between speech distortion and noise reduction. This is because a group of well-studied noise shaping schemes can be introduced to control residual noise for practical applications. Objective and subjective test results verify the importance of residual noise control for the supervised speech enhancement approach.

scholarly journals The Bayesian Estimation for The Shape Parameter of The Power Function Distribution (PFD-I) to Use Hyper Prior Functions

2021 ◽  
Vol 27 (127) ◽  
pp. 229-252
Author(s):  
Jinan Abbas Naser Al-obedy
Keyword(s):  
Maximum Likelihood ◽  
Exponential Distribution ◽  
Power Function ◽  
Loss Function ◽  
Shape Parameter ◽  
Loss Functions ◽  
Erlang Distribution ◽  
Bayes Estimators ◽  
Function Distribution ◽  
Power Function Distribution

The objective of this study is to examine the properties of Bayes estimators of the shape parameter of the Power Function Distribution (PFD-I), by using two different prior distributions for the parameter θ and different loss functions that were compared with the maximum likelihood estimators. In many practical applications, we may have two different prior information about the prior distribution for the shape parameter of the Power Function Distribution, which influences the parameter estimation. So, we used two different kinds of conjugate priors of shape parameter θ of the Power Function Distribution (PFD-I) to estimate it. The conjugate prior function of the shape parameter θ was considered as a combination of two different prior distributions such as gamma distribution with Erlang distribution and Erlang distribution with exponential distribution and Erlang distribution with non-informative distribution and exponential distribution with the non-informative distribution. We derived Bayes estimators for shape parameter θ of the Power Function Distribution (PFD-I) according to different loss functions such as the squared error loss function (SELF), the weighted error loss function (WSELF) and modified linear exponential (MLINEX) loss function (MLF), with two different double priors. In addition to the classical estimation (maximum likelihood estimation). We used simulation to get the results of this study, for different cases of the shape parameter of the Power Function Distribution used to generate data for different samples sizes.

scholarly journals Bayesian Analysis of Weibull-Lindley Distribution Using Different Loss Functions

2020 ◽  
pp. 28-41
Author(s):  
Innocent Boyle Eraikhuemen ◽  
Olateju Alao Bamigbala ◽  
Umar Alhaji Magaji ◽  
Bassa Shiwaye Yakura ◽  
Kabiru Ahmed Manju
Keyword(s):  
Bayesian Analysis ◽  
Loss Function ◽  
Bayesian Methods ◽  
Shape Parameter ◽  
Loss Functions ◽  
Quadratic Loss ◽  
Function Estimation ◽  
Lindley Distribution ◽  
Method Of Maximum Likelihood ◽  
Parameter Values

In the present paper, a three-parameter Weibull-Lindley distribution is considered for Bayesian analysis. The estimation of a shape parameter of Weibull-Lindley distribution is obtained with the help of both the classical and Bayesian methods. Bayesian estimators are obtained by using Jeffrey’s prior, uniform prior and Gamma prior under square error loss function, quadratic loss function and Precautionary loss function. Estimation by the method of Maximum likelihood is also discussed. These methods are compared by using mean square error through simulation study with varying parameter values and sample sizes.

scholarly journals Bayesian Shrinkage Estimator of Burr XII Distribution

2020 ◽  
Vol 2020 ◽  
pp. 1-6
Author(s):  
N. J. Hassan ◽  
J. Mahdi Hadad ◽  
A. Hawad Nasar
Keyword(s):  
Loss Function ◽  
Risk Function ◽  
Shrinkage Estimator ◽  
Loss Functions ◽  
Shrinkage Estimators ◽  
Burr Xii Distribution ◽  
Squared Error ◽  
Special Cases ◽  
Bayesian Shrinkage ◽  
Balance Loss

In this paper, we derive the generalized Bayesian shrinkage estimator of parameter of Burr XII distribution under three loss functions: squared error, LINEX, and weighted balance loss functions. Therefore, we obtain three generalized Bayesian shrinkage estimators (GBSEs). In this approach, we find the posterior risk function (PRF) of the generalized Bayesian shrinkage estimator (GBSE) with respect to each loss function. The constant formula of GBSE is computed by minimizing the PRF. In special cases, we derive two new GBSEs under the weighted loss function. Finally, we give our conclusion.

scholarly journals Bayes Estimation under Conjugate Prior for the Case of Laplace Double Exponential Distribution

2018 ◽  
Vol 40 (1) ◽  
pp. 151-168
Author(s):  
Md Habibur Rahman ◽  
MK Roy
Keyword(s):  
Bayesian Estimation ◽  
Exponential Distribution ◽  
Loss Function ◽  
Real Life ◽  
Bayes Estimation ◽  
Loss Functions ◽  
Quadratic Loss ◽  
Squared Error Loss Function ◽  
Double Exponential Distribution ◽  
Double Exponential

The Bayesian estimation approach is a non-classical device in the estimation part of statistical inference which is very useful in real world situation. The main objective of this paper is to study the Bayes estimators of the parameter of Laplace double exponential distribution. In Bayesian estimation loss function, prior distribution and posterior distribution are the most important ingredients. In real life we try to minimize the loss and want to know some prior information about the problem to solve it accurately. The well known conjugate priors are considered for finding the Bayes estimator. In our study we have used different symmetric and asymmetric loss functions such as squared error loss function, quadratic loss function, modified linear exponential (MLINEX) loss function and non-linear exponential (NLINEX) loss function. The performance of the obtained estimators for different types of loss functions are then compared among themselves as well as with the classical maximum likelihood estimator (MLE). Mean Square Error (MSE) of the estimators are also computed and presented in graphs. The Chittagong Univ. J. Sci. 40 : 151-168, 2018

scholarly journals Bayesian Estimation under Different Loss Functions Using Gamma Prior for the Case of Exponential Distribution

2017 ◽  
Vol 9 (1) ◽  
pp. 67-78
Author(s):  
M. R. Hasan ◽  
A. R. Baizid
Keyword(s):  
Bayesian Estimation ◽  
Exponential Distribution ◽  
Loss Function ◽  
Mean Squared Error ◽  
Simulated Data ◽  
Life Time ◽  
Loss Functions ◽  
Quadratic Loss ◽  
Squared Error Loss Function ◽  
Squared Error

The Bayesian estimation approach is a non-classical estimation technique in statistical inference and is very useful in real world situation. The aim of this paper is to study the Bayes estimators of the parameter of exponential distribution under different loss functions and compared among them as well as with the classical estimator named maximum likelihood estimator (MLE). Since exponential distribution is the life time distribution, we have studied exponential distribution using gamma prior. Here the gamma prior is used as the prior distribution of exponential distribution for finding the Bayes estimator. In our study we also used different symmetric and asymmetric loss functions such as squared error loss function, quadratic loss function, modified linear exponential (MLINEX) loss function and non-linear exponential (NLINEX) loss function. We have used simulated data using R-coding to find out the mean squared error (MSE) of different loss functions and hence found that non-classical estimator is better than classical estimator. Finally, mean square error (MSE) of the estimators of different loss functions are presented graphically.

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