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New estimators of discriminant coefficients as the gradient of log-odds. (English) Zbl 1078.62061

Summary: We consider the estimation of the discriminant coefficients, \(\eta=\Sigma^{-1}(\theta^{(1)}-\theta^{(2)})\), based on two independent normal samples from \(N_p(\theta^{(1)},\Sigma)\) and \(N_p(\theta^{(2)},\Sigma)\). We are concerned with the estimation of \(\eta\) as the gradient of log-odds between two extreme situations. A decision theoretic approach is taken with the quadratic loss function. We derive the unbiased estimator of the essential part of the risk which is applicable for general estimators. We propose two types of new estimators and prove their dominance over the traditional estimator using this unbiased estimator.

MSC:

62H12 Estimation in multivariate analysis
62H30 Classification and discrimination; cluster analysis (statistical aspects)
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