On the optimality of DIA-estimators

Abstract

In this contribution, we introduce, in analogy to penalized ambiguity resolution, the concept of penalized misclosure space partitioning, with the goal of directing the performance of the DIA-estimator towards its application-dependent tolerable risk objectives. We assign penalty functions to each of the decision regions in misclosure space and use the distribution of the misclosure vector to determine the optimal partitioning by minimizing the mean penalty. As each minimum mean penalty partitioning depends on the given penalty functions, different choices can be made, in dependence of the application. For the DIA-estimator, we introduce a special set of penalty functions that penalize its unwanted outcomes. It is shown how this set allows one to construct the optimal DIA-estimator, being the estimator that within its class has the largest probability of lying inside a user specified tolerance region. Further elaboration shows how these penalty functions are driven by the influential biases of the different hypotheses and how they can be used operationally. Hereby the option is included of extending the misclosure partitioning with an additional undecided region to accommodate situations when it will be hard to discriminate between some of the hypotheses or when identification is unconvincing. By extending the analogy with integer ambiguity resolution to that of integer-equivariant ambiguity resolution, we also introduce the maximum probability estimator within the similar larger class.