Abstract
A new technique of optimal estimation of density functions for exponential shift families on a homogeneous space of a Lie group is proposed. In contrast to traditional methods, the approach considered is essentially based on the algebraic properties of shift families. Here we give a universal formula for consistent estimators of density functions covering different classes of estimators such as unbiased estimators with uniformly minimum variance and Bayesian estimators under two popular loss functions. The representations of some maximal invariant density functions are derived and simultaneously a close connection between the estimators and these density functions is established.
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