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Richard Hardy
Richard Hardy
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Consistency is obviously a natural and important property of estimators, but are there situations where it may be better to use an inconsistent estimator rather than a consistent one?

More specifically, are there examples of an inconsistent estimator which outperforms a reasonable consistent estimator for all finite $n$ (with respect to some suitable loss function)?

Consistency is obviously a natural and important property estimators, but are there situations where it may be better to use an inconsistent estimator rather than a consistent one?

More specifically, are there examples of an inconsistent estimator which outperforms a reasonable consistent estimator for all finite $n$ (with respect to some suitable loss function)?

Consistency is obviously a natural and important property of estimators, but are there situations where it may be better to use an inconsistent estimator rather than a consistent one?

More specifically, are there examples of an inconsistent estimator which outperforms a reasonable consistent estimator for all finite $n$ (with respect to some suitable loss function)?

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MånsT
MånsT
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Are inconsistent estimators ever preferable?

Consistency is obviously a natural and important property estimators, but are there situations where it may be better to use an inconsistent estimator rather than a consistent one?

More specifically, are there examples of an inconsistent estimator which outperforms a reasonable consistent estimator for all finite $n$ (with respect to some suitable loss function)?