Pitman closeness criterion
Open-knowledge reference entry
In statistical theory, the Pitman closeness criterion, named after E. J. G. Pitman, is a way of comparing two candidate estimators for the same parameter. Under this criterion, estimator A is preferred to estimator B if the probability that estimator A is closer to the true value than estimator B is greater than one half. Here the meaning of closer is determined by the absolute difference in the case of a scalar parameter, or by the Mahalanobis distance for a vector parameter.
References
Pitman, E. (1937) "The “closest” estimates of statistical parameters". Mathematical Proceedings of the Cambridge Philosophical Society, 33 (2), 212–222. doi:10.1017/S0305004100019563
Rukhin, A. (1996) "On the Pitman closeness criterion from the decision – Theoretic point of view". Statistics & Decisions, 14, 253–274.
Peddada, D. S. (1985) "A short note on Pitman’s measure of nearness". American Statistician, 39, 298–299.
Peddada, D. S. (1986) "Reply".
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