Some Comments on the Minimum mean Square Error as a Criterion of Estimation.

Abstract

It is shown that estimators obtained by MMSE (minimizing the mean square error) may not have optimum properties with respect to other criteria such as PN (probability of nearness to the true value in the sense of Pitman) or PC (probability of concentration around the true value). In particular, a detailed study is made of estimators obtained by shrinking the minimum variance unbiased estimators to reduce the MSE. It is suggested that because of mathematical convenience and some intuitive considerations, MMSE could be used as a primitive postulate to derive estimators, but their acceptability should be judged on more intrinsic criteria such as PN and PC. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1980
Accession Number
ADA093824

Entities

People

  • Calyampudi Radhakrishna Rao

Organizations

  • University of Pittsburgh

Tags

Communities of Interest

  • C4I

DTIC Thesaurus Topics

  • Air Force
  • Bayes Theorem
  • Data Science
  • Estimators
  • Governments
  • Information Science
  • Mathematics
  • Measurement
  • Plastic Explosives
  • Probability
  • Random Variables
  • Scientific Research
  • Security
  • Statistical Algorithms
  • Statistical Analysis
  • Statistics
  • United States

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Regression Analysis.
  • Theoretical Analysis.