Hodges' estimator

Suppose ${\displaystyle \scriptstyle {\hat {\theta }}_{n}}$ is a "common" estimator for some parameter θ: it is consistent, and converges to some asymptotic distribution L_θ (usually this is a normal distribution with mean zero and variance which may depend on θ) at the √n-rate:

${\displaystyle {\sqrt {n}}({\hat {\theta }}_{n}-\theta )\ {\xrightarrow {d}}\ L_{\theta }\ .}$

Then the Hodges' estimator ${\displaystyle \scriptstyle {\hat {\theta }}_{n}^{H}}$ is defined as[5]

${\displaystyle {\hat {\theta }}_{n}^{H}={\begin{cases}{\hat {\theta }}_{n},&{\text{if }}|{\hat {\theta }}_{n}|\geq n^{-1/4},{\text{ and}}\\0,&{\text{if }}|{\hat {\theta }}_{n}|<n^{-1/4}.\end{cases}}}$

This estimator is equal to ${\displaystyle \scriptstyle {\hat {\theta }}_{n}}$ everywhere except on the small interval [−n^−1/4, n^−1/4], where it is equal to zero. It is not difficult to see that this estimator is consistent for θ, and its asymptotic distribution is[6]

${\displaystyle {\begin{aligned}&n^{\alpha }({\hat {\theta }}_{n}^{H}-\theta )\ {\xrightarrow {d}}\ 0,\qquad {\text{when }}\theta =0,\\&{\sqrt {n}}({\hat {\theta }}_{n}^{H}-\theta )\ {\xrightarrow {d}}\ L_{\theta },\quad {\text{when }}\theta \neq 0,\end{aligned}}}$

for any α ∈ R. Thus this estimator has the same asymptotic distribution as ${\displaystyle \scriptstyle {\hat {\theta }}_{n}}$ for all θ ≠ 0, whereas for θ = 0 the rate of convergence becomes arbitrarily fast. This estimator is superefficient, as it surpasses the asymptotic behavior of the efficient estimator ${\displaystyle \scriptstyle {\hat {\theta }}_{n}}$ at least at one point θ = 0. In general, superefficiency may only be attained on a subset of Lebesgue measure zero of the parameter space Θ.

The mean square error (times n) of Hodges' estimator. Blue curve corresponds to n = 5, purple to n = 50, and olive to n = 500.[7]

Suppose x₁, ..., x_n is an independent and identically distributed (IID) random sample from normal distribution N(θ, 1) with unknown mean but known variance. Then the common estimator for the population mean θ is the arithmetic mean of all observations: ${\displaystyle \scriptstyle {\bar {x}}}$. The corresponding Hodges' estimator will be ${\displaystyle \scriptstyle {\hat {\theta }}_{n}^{H}\;=\;{\bar {x}}\cdot \mathbf {1} \{|{\bar {x}}|\,\geq \,n^{-1/4}\}}$, where 1{...} denotes the indicator function.

The mean square error (scaled by n) associated with the regular estimator x is constant and equal to 1 for all θ's. At the same time the mean square error of the Hodges' estimator ${\displaystyle \scriptstyle {\hat {\theta }}_{n}^{H}}$ behaves erratically in the vicinity of zero, and even becomes unbounded as n → ∞. This demonstrates that the Hodges' estimator is not regular, and its asymptotic properties are not adequately described by limits of the form (θ fixed, n → ∞).

• James–Stein estimator