on Pitman closeness

I came by happenstance upon this talk, “Some Pitman Closeness Properties Pertinent to Symmetric Populations”, given by Mohammad Jozania, at the University of Manitoba next week, and it rescinded my former (if negative) interest in Pitman nearness (or closeness). This criterion, which originated in a 1937 paper of E.J.G. Pitman, compares two estimators in the light of the probability of one being closer (to the “truth”) than the other,

and there was a brief interest in the method at the end of the 1980’s, culminating with Keating and Mason’s book on the topic.

In a 1993 JASA paper I wrote with Gene Hwang and Bill Strawderman, entitled “Is Pitman Closeness a Reasonable Criterion?“, we demonstrated that, in many respects, this criterion was not appropriate for comparing estimators. For instance, the comparison was not transitive, two estimators with the same marginal distribution could sometimes be ranked, a Bayes estimator could not be properly derived, some counter-intuitive orderings could be exhibited, &tc… This was an exciting (and fun) paper to  write as it was only made of (counter)examples. (Hence our answer to the above question was  definitive no.) Judging from the abstract to the talk,

In this talk, we focus on Pitman closeness probabilities when the estimators are symmetrically distributed about the unknown parameter θ. We first consider two symmetric estimators θ¹ and θ² and obtain necessary and sufficient conditions for θ¹ to be Pitman closer to the common median θ than θ². We then establish some properties in the context of estimation under Pitman closeness criterion. We define a Pitman closeness probability which measures the frequency with which an individual order statistic is Pitman closer to θ than some symmetric estimator. We show that, for symmetric populations, the sample median is Pitman closer to the population median than any other symmetrically distributed estimator of θ. Finally, we discuss the use of Pitman closeness probabilities in the determination of an optimal ranked set sampling scheme (denoted by RSS) for the estimation of the population median when the underlying distribution is symmetric. We show that the best RSS scheme from symmetric populations in the sense of Pitman closeness is the median and randomized median RSS for the cases of odd and even sample sizes, respectively.

it sounds like the authors have relaunched research in this area, hence that our 1993 definitive conclusion against the use of the criterion was not definitive for everyone…  (I could not find a trace of the corresponding paper through google, but I would be interested in reading the recent research on the topic! Even though the result about the “optimality” of the sample median reminds me of earlier results, with the related drawback that this optimality is incompatible with the sufficiency principle.)