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On Unbiased Estimation of a Vector Parameter
Published online by Cambridge University Press: 20 November 2018
Extract
It is shown in this paper that Rao's criterion of comparing two unbiased estimators on the basis of definiteness of the difference between their dispersion matrices is equivalent to Cramer's criterion based on their concentration ellipsoids. When the estimators have normal distributions it is shown that both the criteria have a desirable property in terms of the probabilities of the estimators lying in ellipsoids with the parameter point as the center.
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- Copyright © Canadian Mathematical Society 1972