Statistical Theory and Methods
Published Online: 15 JAN 2013
Copyright © 2002 John Wiley & Sons, Ltd
Encyclopedia of Environmetrics
How to Cite
Hallin, M. and JureČková, J. 2013. Equivariant Estimation. Encyclopedia of Environmetrics. 2.
- Published Online: 15 JAN 2013
The concepts of invariance and equivariance of estimators with respect to various groups of transformations of the sample space are defined. The structure and properties of equivariant and minimum risk equivariant estimators are characterized. Emphasis is put on equivariance with respect to shift, scale, and affine transformations.
- Pitman estimator;
- multivariate model;
- Mahalanobis distance