Relation of the Best Invariant Predictor and the Best Unbiased Predictor in Location and Scale Families
The Annals of Statistics · 1981 · Volume 9 · Issue 4
Abstract
In this paper a necessary and sufficient condition for a predictor to be the best invariant predictor in location and scale families is given. Using this condition, it is shown that the best invariant predictor is expressed by a linear combination of the best unbiased predictor and the best unbiased estimator of the scale parameter.
Keywords
62C99, 62F99, Invariance, location and scale family, prediction, unbiasedness
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