A volumetric approach to biased estimation : demonstration on shrinkage estimators

C. Bikcora, S. Weiland

Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

Abstract

This work proposes a new approach, named as the volumetric design (VD), of developing biased estimators of deterministic parameters that are known in advance to belong to a compact subset in the parameter space. For analytical tractability, this approach is demonstrated on the choice of the shrinkage parameter of an estimator that scales the celebrated minimum variance unbiased estimator (MVUE) towards zero, where a spherical set is taken as the a priori knowledge on the parameters and the mean-squared error is adopted as the performance measure. Similar to the existing methods of the minimax (MX) and the deepest minimum criterion (DMC) estimators, the VD estimator also belongs to the class of admissible estimators that dominate the MVUE on the provided parameter (spherical) set. However, as its fundamental difference, it corresponds to the estimator that has the largest total relative volume on which it dominates the other estimators in this class, thereby achieving the best volumetric robustness in this manner.
Original languageEnglish
Title of host publicationProceedings - 2016 IEEE International Conference on Digital Signal Processing, DSP 2016
Place of PublicationPiscataway
PublisherInstitute of Electrical and Electronics Engineers
Pages642-646
Number of pages5
ISBN (Electronic)978-1-5090-4165-7
ISBN (Print)978-1-5090-4166-4
DOIs
Publication statusPublished - 2 Mar 2017
EventIEEE International Conference on Digital Signal Processing (DSP 2016), 16-18 october 2016, Beijing, China - Beijing, China
Duration: 16 Oct 201618 Oct 2016
http://dsp2016.csp.escience.cn/dct/page/1

Conference

ConferenceIEEE International Conference on Digital Signal Processing (DSP 2016), 16-18 october 2016, Beijing, China
Abbreviated titleDSP 2016
CountryChina
CityBeijing
Period16/10/1618/10/16
Internet address

Keywords

  • Admissibility
  • biased estimation
  • domination
  • mean-squared error
  • parameter estimation

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  • Cite this

    Bikcora, C., & Weiland, S. (2017). A volumetric approach to biased estimation : demonstration on shrinkage estimators. In Proceedings - 2016 IEEE International Conference on Digital Signal Processing, DSP 2016 (pp. 642-646). [7868637] Institute of Electrical and Electronics Engineers. https://doi.org/10.1109/ICDSP.2016.7868637