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Letter to the Editor

Letter to the Editor: Zhang, J. (2021), “The Mean Relative Entropy: An Invariant Measure of Estimation Error,” The American Statistician, 75, 117–123: comment by Vos and Wu

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References

  • Kass, R. E., and Vos, P. W. (1997), Geometrical Foundations of Asymptotic Inference, Wiley Series in Probability and Statistics. New York: Wiley.
  • Kullback, S. (1987), “Letters to the Editor,” The American Statistician, 41, 338–341.
  • Lehmann, E. L. (1991), Theory of Point Estimation, The Wadsworth & Brooks/Cole Statistics/Probability Series, Pacific Grove, CA: Wadsworth & Brooks/Cole Advanced Books & Software.
  • Vos, P., Wu, Q. (2015), “Maximum Likelihood Estimators Uniformly Minimize Distribution Variance Among Distribution Unbiased Estimators in Exponential Families,” Bernoulli, 21, 2120–2138. DOI: https://doi.org/10.3150/14-BEJ637.
  • Wu, Q., Vos, P. (2012), “Decomposition of Kullback–Leibler Risk and Unbiasedness for Parameter-Free Estimators,” Journal of Statistical Planning and Inference, 142, 1525–1536. DOI: https://doi.org/10.1016/j.jspi.2012.01.002.
  • Zhang, J. (2021), “The Mean Relative Entropy: An Invariant Measure of Estimation Error,” The American Statistician, 75, 117–123. DOI: https://doi.org/10.1080/00031305.2018.1543139.

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