Comparison of Linear Estimators Using Pitman's Measure of Closeness
提出一种在Pitman接近度准则下比较两个公共随机向量线性形式的方法，假设多元正态性可精确计算接近概率，并以岭回归估计量比较为例展示其适用性。
Abstract A method is given for the comparison of two linear forms of a common random vector under the criterion of Pitman's measure of closeness. Assuming multivariate normality of the random vector, one can determine exact expressions for the closeness probabilities. The applicability of the theory is illustrated on the comparison of ridge regression estimators.